Abstract nonlinear filtering theory in the presence of fractional Brownian motion
From MaRDI portal
Publication:1578603
DOI10.1214/aoap/1029962865zbMath0956.60058OpenAlexW2033171953MaRDI QIDQ1578603
Laurent Decreusefond, Laure Coutin
Publication date: 4 September 2000
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1029962865
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)
Related Items (17)
Large and moderate deviations for stochastic Volterra systems ⋮ Quantitative clts on a gaussian space: a survey of recent developments ⋮ Linear Filtering with Fractional Noises: Large Time and Small Noise Asymptotics ⋮ Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion ⋮ A support theorem for stochastic differential equations driven by a fractional Brownian motion ⋮ Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise ⋮ New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions ⋮ The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications ⋮ Large deviations for optimal filtering with fractional Brownian motion ⋮ Nonlinear Filtering with Fractional Brownian Motion Noise ⋮ Filtered Brownian motions as weak limit of filtered Poisson processes ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ On the anticipative nonlinear filtering problem and its stability ⋮ Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion ⋮ Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion ⋮ Abstract nonlinear filtering theory in the presence of fractional Brownian motion ⋮ Stochastic Volterra equations driven by fractional Brownian motion
Cites Work
- Itô's formula with respect to fractional Brownian motion and its application
- Gaussian measures in Banach spaces
- Sur une intégrale pour les processus à \(\alpha\)-variation bornée. (On an integral for processes with bounded \(\alpha\)-variation)
- Stochastic analysis of the fractional Brownian motion
- On fractional Brownian processes
- Abstract nonlinear filtering theory in the presence of fractional Brownian motion
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- An inequality of the Hölder type, connected with Stieltjes integration
- [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
- Quelques espaces fonctionnels associés à des processus gaussiens
- Stochastic analysis of fractional brownian motions
- On the optimal filtering of diffusion processes
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Abstract nonlinear filtering theory in the presence of fractional Brownian motion
