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

DOI10.1142/S021949370800238XzbMATH Open1151.93031MaRDI QIDQ3548296FDOQ3548296

Authors: Wilfried Grecksch, Constantin Tudor 

Publication date: 11 December 2008

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

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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)

Cites Work

• A parabolic stochastic differential equation with fractional Brownian motion input
• Stochastic evolution equations with fractional Brownian motion
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• Title not available (Why is that?)
• Linear filtering with fractional brownian motion
• The Riccati Integral Equations for Optimal Control Problems on Hilbert Spaces
• Linear filtering with fractional Brownian motion in the signal and observation processes

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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