Linear filtering with fractional Brownian motion in the signal and observation processes. (1999)

• Record Type: Journal Article
• Authors: Kleptsyna, M. L.; Kloeden, P. E.; Anh, V. V.
• Is Part Of: Journal of applied mathematics and stochastic analysis. Volume 12:Number 1(1999)
• Page Start: 85
• Page End: 90
• Publication Date: 1999
• Subjects: linear filtering -- fractional Brownian motion -- long-range dependence -- optimal mean-square filter; Mathematical models -- Periodicals; Computer simulation -- Periodicals; Computer science -- Mathematics -- Periodicals; Computer science -- Mathematics; Computer simulation; Mathematical models; Applied Mathematics; Periodicals; Electronic journals; 519.22
• DOI: 10.1155/S1048953399000076
• Languages: English
• ISSNs: 1048-9533

Abstract

Abstract : Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h ∈ ( 3 / 4, 1 ) and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process.