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

DOI10.1142/S021949370800238XzbMath1151.93031MaRDI QIDQ3548296

Wilfried Grecksch, Constantin Tudor

Publication date: 11 December 2008

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• A parabolic stochastic differential equation with fractional Brownian motion input
• Linear filtering with fractional Brownian motion in the signal and observation processes
• Stochastic evolution equations with fractional Brownian motion
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces
• Linear filtering with fractional brownian motion

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