Finite-dimensional filtering and control for continuous-time nonlinear systems
Date
2005
Authors
Elliott, R.
Aggoun, L.
Benmerzouga, A.
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Journal article
Citation
Stochastic Analysis and Applications, 2005; 22(2):499-505
Statement of Responsibility
Robert J. Elliott; Lakhdar Aggoun; Ali Benmerzouga
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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.
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Copyright © 2004 by Marcel Dekker, Inc.