A Bayes Formula for Gaussian Noise Processes and its Applications

DOI10.1137/S0363012998343380MaRDI QIDQ4507482zbMATHFDO

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)

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)

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Cited in

(5)

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

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