Linear filtering with fractional brownian motion
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Publication:4215907
DOI10.1080/07362999808809569zbMath0916.93076OpenAlexW1985722533MaRDI QIDQ4215907
V. V. Anh, Peter E. Kloeden, Marina Kleptsyna
Publication date: 21 January 1999
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362999808809569
Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Generalized stochastic processes (60G20)
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Local asymptotic normality and estimation via Kalman-Bucy filter for linear systems driven by fractional Brownian motions ⋮ Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics ⋮ Parameter-dependent filtering of Gaussian processes in Hilbert spaces ⋮ Filtering of Gaussian processes in Hilbert spaces ⋮ General approach to filtering with fractional brownian noises — application to linear systems ⋮ Large deviations for optimal filtering with fractional Brownian motion ⋮ Some integral equations related to random Gaussian processes ⋮ A FILTERING PROBLEM FOR A LINEAR STOCHASTIC EVOLUTION EQUATION DRIVEN BY A FRACTIONAL BROWNIAN MOTION ⋮ Nonlinear Filtering with Fractional Brownian Motion Noise ⋮ Linear filtering of systems with memory and application to finance ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ Effective signal extraction via local polynomial approximation under long-range dependency conditions ⋮ Identification of a Markovian system with observations corrupted by a fractional Brownian motion ⋮ Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
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