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

DOI10.1016/j.spa.2008.12.007zbMath1172.60319OpenAlexW2081646678MaRDI 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 filteringmultiple stochastic integralGaussian random fieldmultiparameter martingalefractional Wiener sheet

Mathematics Subject Classification ID

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

Cites Work

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• Multiple fractional integrals
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• Nonlinear Filtering Revisited: A Spectral Approach
• Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
• Stochastic Calculus for Fractional Brownian Motion I. Theory
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