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

DOI10.1016/J.SPA.2008.12.007MaRDI QIDQ2270879zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3852917 (Why is no real title available?)
• An elementary approach to filtering in systems with fractional Brownian observation noise
• Approximations to the solution of the zakai equation using multiple wiener and stratonovich integral expansions
• Chaos decomposition of multiple fractional integrals and applications
• Fourier-Hermite expansions for nonlinear filtering
• Multiple Integral Expansions for Nonlinear Filtering
• Multiple fractional integrals
• Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
• New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions
• Nonlinear Filtering Revisited: A Spectral Approach
• Quantum probability for probabilists
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise
• Stochastic transfer principle for multiple integrals with respect to Gaussian random fields with applications

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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