New finite-dimensional risk-sensitive filters: small noise limits
Charalambos D. Charalambous, Subhrakanti Dey, Robert James Elliott · IEEE Transactions on Automatic Control · 1998
The paper is concerned with continuous-time nonlinear risk-sensitive filters. It is shown that for large classes of nonlinearities entering both the dynamics and measurements, these filters are finite-dimensional generalizations of the Benes filters. Specific examples are discussed. The small noise limiting analog is discussed using change of probability measures.