New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions

DOI10.1016/j.camwa.2006.08.011zbMath1136.60329MaRDI QIDQ2426014

S. Chivoret, Anna Amirdjanova

Publication date: 17 April 2008

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

Full work available at URL: https://doi.org/10.1016/j.camwa.2006.08.011

zbMATH Keywords

fractional Brownian motion; Gaussian process; nonlinear filtering; Zakai equation; multiple stochastic integral

Mathematics Subject Classification ID

60G15: Gaussian processes

60G35: Signal detection and filtering (aspects of stochastic processes)

Related Items

Optimal control of discrete-time linear fractional-order systems with multiplicative noise, Representations of the optimal filter in the context of nonlinear filtering of random fields with fractional noise, Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise, Solving SPDEs driven by colored noise: A chaos approach

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