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

DOI10.1016/J.SPA.2008.12.007zbMATH Open1172.60319OpenAlexW2081646678MaRDI QIDQ2270879FDOQ2270879

Authors: Matthew Linn, Anna Amirdjanova 

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

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zbMATH Keywords

Gaussian random fieldnonlinear filteringmultiple stochastic integralfractional Wiener sheetmultiparameter martingale

Mathematics Subject Classification ID

Inference from spatial processes (62M30) Gaussian processes (60G15) Random fields (60G60) Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05)

Cites Work

• Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
• Quantum probability for probabilists
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Nonlinear Filtering Revisited: A Spectral Approach
• Multiple Integral Expansions for Nonlinear Filtering
• Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
• Multiple fractional integrals
• Chaos decomposition of multiple fractional integrals and applications
• Fourier-Hermite expansions for nonlinear filtering
• Stochastic transfer principle for multiple integrals with respect to Gaussian random fields with applications
• An elementary approach to filtering in systems with fractional Brownian observation noise
• Title not available (Why is that?)
• 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

Cited In (3)

• Using bases of finite functions in problems of filtering of a priori uncertain time-dependent processes on stochastic spatial fractals
• Stochastic equations of optimal nonlinear filtering of random fields
• New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions

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