Nonlinear filtering with fractional Brownian motion

zbMath0920.93037MaRDI QIDQ5906317

Peter E. Kloeden, Marina Kleptsyna, V. V. Anh

Publication date: 15 September 1999

Published in: Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionnonlinear filtering

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Effective signal extraction via local polynomial approximation under long-range dependency conditions ⋮ Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion

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