Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion

DOI10.1081/SAP-200029489zbMath1153.62351OpenAlexW2143852301MaRDI QIDQ3158188

B. L. S. Prakasa Rao

Publication date: 20 January 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-200029489

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Identification in stochastic control theory (93E12)

Related Items

Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion ⋮ Nonparametric Estimation of Linear Multiplier for Fractional Diffusion Processes ⋮ Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process

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• Parameter estimation and optimal filtering for fractional type stochastic systems