Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise

DOI10.1016/J.CAMWA.2007.08.032MaRDI QIDQ2425456zbMATH OpenOpenAlexFDO

Authors Anna Amirdjanova, Matthew Linn

Publication date 5 May 2008

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0707.3856

zbMATH Keywords

Gaussian random fieldfractional Brownian sheetDuncan-Mortensen-Zakai equationmultiparameter martingale

Mathematics Subject Classification ID

Random fields (60G60) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Abstract: The problem of nonlinear filtering of a random field observed in the presence of a noise, modeled by a persistent fractional Brownian sheet of Hurst index $(H_1,H_2)$ with $0.5<H_1,H_2<1$, is studied and a suitable version of the Bayes' formula for the optimal filter is obtained. Two types of spatial "fractional" analogues of the Duncan-Mortensen-Zakai equation are also derived: one tracks evolution of the unnormalized optimal filter along an arbitrary "monotone increasing" (in the sense of partial ordering in $mathbb{R}^2$) one-dimensional curve in the plane, while the other describes dynamics of the filter along the paths that are truly two-dimensional. Although the paper deals with the two-dimensional parameter space, the presented approach and results extend to $d$-parameter random fields with arbitrary $dgeq3$.

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Cited in

(2)

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

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