Filtering for Linear Systems Driven by Fractional Brownian Motion

DOI10.1137/S0363012900368715zbMATH Open1102.93325OpenAlexW2176802331MaRDI QIDQ4537835FDOQ4537835

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

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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)

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
• Necessary optimality conditions for quasi-singular controls for systems with Caputo fractional derivatives
• On the characteristics of a class of Gaussian processes within the white noise space setting
• 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
• Title not available (Why is that?)
• Optimality conditions of singular controls for systems with Caputo fractional derivatives

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