Nonlinear Filtering with Fractional Brownian Motion Noise

DOI10.1081/SAP-200044429zbMath1068.60059OpenAlexW2123913724MaRDI QIDQ4678745

Xingqiu Zhao, Jie Xiong

Publication date: 23 May 2005

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

Full work available at URL: https://doi.org/10.1081/sap-200044429

zbMATH Keywords

martingale problemZakai equationKushner-FKK equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Control/observation systems governed by functional-differential equations (93C23) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items

Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics, Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise, New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions, Large deviations for optimal filtering with fractional Brownian motion, On the anticipative nonlinear filtering problem and its stability, Identification of a Markovian system with observations corrupted by a fractional Brownian motion

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