A FILTERING PROBLEM FOR A LINEAR STOCHASTIC EVOLUTION EQUATION DRIVEN BY A FRACTIONAL BROWNIAN MOTION

DOI10.1142/S021949370800238XMaRDI QIDQ3548296zbMATH OpenFDO

Authors Wilfried Grecksch, Constantin Tudor

Publication date 11 December 2008

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S021949370800238X

zbMATH Keywords

innovation processinfinite-dimensional fractional Brownian motionfractional stochastic evolution equationfractional linear filtering

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Filtering in stochastic control theory (93E11)

Recommendations

• General approach to filtering with fractional brownian noises — application to linear systems
• Nonlinear filtering with fractional Brownian motion
• Linear filtering with fractional Brownian motion in the signal and observation processes
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Cites work

• scientific article; zbMATH DE number 3682726 (Why is no real title available?)
• A parabolic stochastic differential equation with fractional Brownian motion input
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• Linear filtering with fractional Brownian motion in the signal and observation processes
• Linear filtering with fractional brownian motion
• Stochastic evolution equations with fractional Brownian motion
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces

Cited in

(2)

• Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise
• Filtering for Linear Systems Driven by Fractional Brownian Motion

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