Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics

DOI10.1137/20M1360359zbMath1492.93185arXiv1911.10062MaRDI QIDQ5081090

Danielle Afterman, Dmytro Marushkevych, Pavel Chigansky, Marina Kleptsyna

Publication date: 1 June 2022

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

Full work available at URL: https://arxiv.org/abs/1911.10062

zbMATH Keywords

fractional Brownian motion asymptotic analysis stochastic filtering

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Filtering in stochastic control theory (93E11) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Unnamed Item
Mixed Gaussian processes: a filtering approach
Asymptotic accuracy in estimation of a fractional signal in a small white noise
Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
Asymptotic filtering for finite state Markov chains
Abstract nonlinear filtering theory in the presence of fractional Brownian motion
Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
Function estimation via wavelet shrinkage for long-memory data
Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
Mixed fractional Brownian motion: a spectral take
General approach to filtering with fractional brownian noises — application to linear systems
Nonlinear Filtering of One-Dimensional Diffusions in the Case of a High Signal-to-Noise Ratio
On the maximal achievable accuracy in nonlinear filtering problems
Signal detection in fractional Gaussian noise
Linear filtering with fractional brownian motion
Quenched Large Deviations for One Dimensional Nonlinear Filtering
Nonlinear Filtering with Fractional Brownian Motion Noise
Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
Asymptotic Distribution of Eigenvalues of the Kernel in the Kirkwood-Riseman Integral Equation
The maximally achievable accuracy of linear optimal regulators and linear optimal filters

This page was built for publication: Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics