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|Title:||Finite-dimensional filtering and control for continuous-time nonlinear systems|
|Citation:||Stochastic Analysis and Applications, 2005; 22(2):499-505|
|Publisher:||Marcel Dekker Inc|
|Robert J. Elliott; Lakhdar Aggoun; Ali Benmerzouga|
|Abstract:||A partially observed stochastic control problem is considered in continuous time where both the state and observation processes are given by non-linear dynamics. Measure change techniques applied to the cost process allow both state and observation processes to be thought of as linear. If the cost is given a special form, this transformation changes the original non-linear problem into a linear one.|
|Rights:||Copyright © 2004 by Marcel Dekker, Inc.|
|Appears in Collections:||Aurora harvest|
Mathematical Sciences publications
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