Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
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Publication:1862205
DOI10.1023/A:1021243701707zbMath1011.60018MaRDI QIDQ1862205
Alain Le Breton, Marina Kleptsyna
Publication date: 10 March 2003
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)
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