Risk sensitive filtering with Poisson process observations

W. P. Malcolm*, M. R. James, R. J. Elliott

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    3 Citations (Scopus)

    Abstract

    In this paper we consider risk sensitive filtering for Poisson process observations. Risk sensitive filtering is a type of robust filtering which offers performance benefits in the presence of uncertainties. We derive a risk sensitive filter for a stochastic system where the signal variable had dynamics described by a diffusion equation and determines the rate function for an observation process. The filtering equations are stochastic integral equations. Computer simulations are presented to demonstrate the performance gain for the risk sensitive filter compared with the risk neutral filter.

    Original languageEnglish
    Pages (from-to)387-402
    Number of pages16
    JournalApplied Mathematics and Optimization
    Volume41
    Issue number3
    DOIs
    Publication statusPublished - 2000

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