FINITE-DIMENSIONAL SOLUTIONS OF A MODIFIED ZAKAI EQUATION

Authors
BENES VE ELLIOTT RJ
Citation
Ve. Benes et Rj. Elliott, FINITE-DIMENSIONAL SOLUTIONS OF A MODIFIED ZAKAI EQUATION, MCSS. Mathematics of control, signals and systems, 9(4), 1996, pp. 341-351
Citations number
9
Categorie Soggetti
Controlo Theory & Cybernetics","Engineering, Eletrical & Electronic",Mathematics,"Robotics & Automatic Control
Journal title
MCSS. Mathematics of control, signals and systems → ACNP
ISSN journal
09324194
Volume
9
Issue
4
Year of publication
1996
Pages
341 - 351
Database
ISI
SICI code
0932-4194(1996)9:4<341:FSOAMZ>2.0.ZU;2-Z
Abstract
In risk-sensitive control a modified Zakai equation arises which inclu des an extra term related to the exponential running cost. We show tha t a wide class of finite-dimensional solutions related to the Benes fi lter is possible as long as nonlinearities in the drift are canceled i n an appropriate way by terms in the running cost.