Representations of the optimal filter in the context of nonlinear filtering of random fields with fractional noise

DOI10.1016/j.spa.2008.12.007zbMath1172.60319MaRDI QIDQ2270879

Anna Amirdjanova, Matthew Linn

Publication date: 29 July 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.12.007

zbMATH Keywords

nonlinear filtering; multiple stochastic integral; Gaussian random field; multiparameter martingale; fractional Wiener sheet

Mathematics Subject Classification ID

60G60: Random fields

62M20: Inference from stochastic processes and prediction

62M30: Inference from spatial processes

60G15: Gaussian processes

60G35: Signal detection and filtering (aspects of stochastic processes)

60H05: Stochastic integrals

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