Filtering for Linear Systems Driven by Fractional Brownian Motion

DOI10.1137/S0363012900368715MaRDI QIDQ4537835zbMATH OpenOpenAlexFDO

Authors N. U. Ahmed, Charalambos D. Charalambous

Publication date 23 June 2002

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

Full work available at URL https://doi.org/10.1137/s0363012900368715

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving randomness (49K45) Stochastic analysis (60H99)

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Cited in

(9)

• Abstract functional stochastic evolution equations driven by fractional Brownian motion
• Une approche de type girsanov pour le filtrage dans un système linéaire simple avec bruit brownien fractionnaire
• On the characteristics of a class of Gaussian processes within the white noise space setting
• Necessary optimality conditions for quasi-singular controls for systems with Caputo fractional derivatives
• Necessary and sufficient optimality conditions for fractional Fornasini-Marchesini model
• Some necessary optimality conditions for systems with fractional Caputo derivatives
• Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
• scientific article; zbMATH DE number 6945551 (Why is no real title available?)
• Optimality conditions of singular controls for systems with Caputo fractional derivatives

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