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Stochastic Filtering Theory, Springer-Verlag
- Publisher
- Springer Journals
- Copyright
- Copyright © Inc. by 2002 Springer-Verlag New York
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-002-0754-2
- Publisher site
- See Article on Publisher Site
Abstract
Abstract. Our objective is to study a nonlinear filtering problem for the observation process perturbed by a Fractional Brownian Motion (FBM) with Hurst index 1/2 <H<1 . A reproducing kernel Hilbert space for the FBM is considered and a ``fractional'' Zakai equation for the unnormalized optimal filter is derived.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Dec 19, 2002