Linear filtering with fractional Brownian motion in the signal and observation processes

DOI10.1155/S1048953399000076zbMath0930.93075OpenAlexW2151232545MaRDI QIDQ1305824

V. V. Anh, Marina Kleptsyna, Peter E. Kloeden

Publication date: 31 January 2000

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/48326

zbMATH Keywords

fractional Brownian motionoptimal mean-square filtertheorem on normal correlation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Generalized stochastic processes (60G20)

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