A Bayes Formula for Gaussian Noise Processes and its Applications

DOI10.1137/S0363012998343380zbMath0970.60046MaRDI QIDQ4507482

Vidyadhar Mandrekar, Pranab K. Mandal

Publication date: 18 October 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionfilteringBayes formulaZakai equationGaussian noise processOrnstein-Uhlenbeck dispersion process

Mathematics Subject Classification ID

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)

Related Items (5)

Linear filtering with Ornstein-Uhlenbeck process as noise ⋮ Filtering theory for a weakly coloured noise process ⋮ Nonlinear Filtering with Fractional Brownian Motion Noise ⋮ Identification of a Markovian system with observations corrupted by a fractional Brownian motion ⋮ A Bayes formula for nonlinear filtering with Gaussian and Cox noise

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