Filtering of stochastic delayed differential equations in Hilbert spaces

DOI10.4310/CIS.2021.V21.N4.A2MaRDI QIDQ2048487zbMATH OpenWikidataFDO

Authors V. Kubelka, B. Maslowski

Publication date 6 August 2021

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/CIS.2021.V21.N4.A2

zbMATH Keywords

filteringfractional Brownian motionGauss-Volterra processHilbert spacestochastic delayed differential equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Review text

The aim of the present paper is to summarize and extend the authors and their co-authors recent results where the problem of filtering for general Gaussian processes has been solved and applied to linear non-Markovian SPDEs driven by Gauss-Volterra noise. As an application the authors consider the case of the stochastic delayed equations.

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Cited in

(4)

• Finite dimensional filters for nonlinear stochastic difference equations with multiplicative noises
• scientific article; zbMATH DE number 4042965 (Why is no real title available?)
• Filtering of Gaussian processes in Hilbert spaces
• scientific article; zbMATH DE number 2217321 (Why is no real title available?)

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