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A FILTERING PROBLEM FOR A LINEAR STOCHASTIC EVOLUTION EQUATION DRIVEN BY A FRACTIONAL BROWNIAN MOTION

✍ Scribed by GRECKSCH, WILFRIED; TUDOR, CONSTANTIN

Book ID
120554619
Publisher
World Scientific Publishing Company
Year
2008
Tongue
English
Weight
253 KB
Volume
08
Category
Article
ISSN
0219-4937

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πŸ“œ SIMILAR VOLUMES

Filtering and parameter estimation in a
Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
✍ Alain Le Breton πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 520 KB

The optimal filter is derived in a Gaussian linear system where the signal is a fixed random variable and the observation is driven by a fractional Brownian motion. An application to a related parameter estimation problem is discussed and a Girsanov-type formula is investigated.