๐”– Bobbio Scriptorium
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Risk Sensitive Filtering with Poisson Process Observations

โœ Scribed by W. P. Malcolm; M. R. James; R. J. Elliott

Publisher
Springer
Year
2000
Tongue
English
Weight
139 KB
Volume
41
Category
Article
ISSN
0095-4616

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๐Ÿ“œ SIMILAR VOLUMES

Linear systems with polynomials of filte
Linear systems with polynomials of filtered Poisson processes
โœ Mircea Grigoriu; Federico Waisman ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 477 KB

Moment equations are calculated exactly for the response of linear systems subjected polynomials of filtered Poisson processes. The It6 formula for stochastic differential equations driven by Poisson white noise is applied to derive moment equations. It is shown that the set of moment equations is c

Infinite horizon risk sensitive control
Infinite horizon risk sensitive control of discrete time Markov processes with small risk
โœ G.B.Di Masi; ล. Stettner ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 96 KB

A control problem with risk sensitive ergodic performance criterion is considered for a discrete time Feller process. Using assumptions of uniform ergodicity and small risk factor, the existence and uniqueness of the solution to the Bellman equation is proved. Uniform approximations to such solution