Optimal filtration for systems with fractional Brownian noises

MaRDI QIDQ3411272zbMATH OpenFDO

Authors S. V. Posashkov

Publication date 8 December 2006

Full work available at URL http://www.ams.org/tpms/2006-72-00/S0094-9000-06-00671-5/home.html

zbMATH Keywords

fractional Brownian motionfilteringHurst parametern t

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Brownian motion (60J65) Stochastic integrals (60H05)

Recommendations

• scientific article; zbMATH DE number 5159224
• General approach to filtering with fractional brownian noises — application to linear systems
• Optimal filtering of systems with fractional Brownian noises and a stabilizing item in signal processes
• Linear filtering with fractional brownian motion
• Linear filtering with fractional Brownian motion in the signal and observation processes

Cited in

(2)

• Optimal filtering of systems with fractional Brownian noises and a stabilizing item in signal processes
• Recognising Whether a Filtration is Brownian: a Case Study

This page was built for publication: Optimal filtration for systems with fractional Brownian noises

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3411272)