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https://hdl.handle.net/2440/36650
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Type: | Journal article |
Title: | Finite-dimensional filtering and control for continuous-time nonlinear systems |
Author: | Elliott, R. Aggoun, L. Benmerzouga, A. |
Citation: | Stochastic Analysis and Applications, 2005; 22(2):499-505 |
Publisher: | Marcel Dekker Inc |
Issue Date: | 2005 |
ISSN: | 0736-2994 1532-9356 |
Statement of Responsibility: | Robert J. Elliott; Lakhdar Aggoun; Ali Benmerzouga |
Abstract: | A partially observed stochastic control problem is considered in continuous time where both the state and observation processes are given by non-linear dynamics. Measure change techniques applied to the cost process allow both state and observation processes to be thought of as linear. If the cost is given a special form, this transformation changes the original non-linear problem into a linear one. |
Keywords: | Measure change Stochastic control Non-linear dynamics LQG form |
Rights: | Copyright © 2004 by Marcel Dekker, Inc. |
DOI: | 10.1081/SAP-120028607 |
Published version: | http://www.informaworld.com/smpp/content?content=10.1081/SAP-120028607 |
Appears in Collections: | Aurora harvest Mathematical Sciences publications |
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