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Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions

โœ Scribed by Guy Jumarie

Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
297 KB
Volume
32
Category
Article
ISSN
0307-904X

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๐Ÿ“œ SIMILAR VOLUMES

Filtering and parameter estimation in a
Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
โœ Alain Le Breton ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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.