Exact finite dimensional filters for certain exponential functionals of Gaussian state space processes
- 23 November 2002
- conference paper
- Published by Institute of Electrical and Electronics Engineers (IEEE)
- Vol. 2 (01912216) , 1651-1656
- https://doi.org/10.1109/cdc.1997.657751
Abstract
In this paper, we derive finite dimensional filters for certain exponential functionals of the state of a continuous-time linear Gaussian process. Apart from being of mathematical interest, these new filters have applications in the state reconstruction of doubly-stochastic autoregressive processes. We also derive similar filters for exponential functionals of the state of nonlinear Benes systems.Keywords
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