Linear filtering with fractional Brownian motion in the signal and observation processes

M. L. Kleptsyna, P. E. Kloeden and V. V. Anh

International Journal of Stochastic Analysis, 1999, vol. 12, 1-6

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.

Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:369754

DOI: 10.1155/S1048953399000076

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