A Bayes Formula for Gaussian Noise Processes and its Applications

DOI10.1137/S0363012998343380zbMATH Open0970.60046MaRDI QIDQ4507482FDOQ4507482

Authors: Pranab K. Mandal, V. S. Mandrekar 

Publication date: 18 October 2000

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

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zbMATH Keywords

fractional Brownian motionfilteringZakai equationBayes formulaGaussian noise processOrnstein-Uhlenbeck dispersion process

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cited In (5)

• Nonlinear Filtering with Fractional Brownian Motion Noise
• Filtering theory for a weakly coloured noise process
• Identification of a Markovian system with observations corrupted by a fractional Brownian motion
• Linear filtering with Ornstein-Uhlenbeck process as noise
• A Bayes formula for nonlinear filtering with Gaussian and Cox noise

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