Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise (Q2425456): Difference between revisions

In this paper the problem of spatial nonlinear filtering of a multiparameter semimartingale random field, with estimation based on an observation random field perturbed by a long-memory fractional noise, has been considered and a suitable version of the Bayes' formula for the optimal filter is obtained. Two types of spatial ``fractional'' analogues of the Duncan-Mortensen-Zakai equation are also derived: one tracks the evolution of the unnormalized optimal filter along an arbitrary ``monotone increasing'' (in the sense of partial ordering in \(\mathbb{R}^2\)) one-dimensional curve in the plane, while the other describes the dynamics of the filter along paths that are truly two-dimensional. The presented results are obtained for the two-dimensional parameter space and can be extended to multiparameter random fields.