About Gaussian filtering problems with general exponential quadratic criteria
M. L. Keptsyna, Alain Breton, Michel Viot · arXiv (Cornell University) · 2009
Filtering problems with general exponential quadratic criteria are investigated for Gauss-Markov processes. In this setting, the Linear Exponential Gaussian and Risk-Sensitive filtering problems are solved and it is shown that they may have different solutions.