Nonlinear Filtering with Fractional Brownian Motion Noise

DOI10.1081/SAP-200044429MaRDI QIDQ4678745zbMATH OpenOpenAlexFDO

Authors Xingqiu Zhao, Jie Xiong

Publication date 23 May 2005

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sap-200044429

zbMATH Keywords

Zakai equationmartingale problemKushner-FKK equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Nonlinear systems in control theory (93C10) Control/observation systems governed by functional-differential equations (93C23)

Recommendations

• Nonlinear filtering with fractional Brownian motion
• Nonlinear filtering with fractional Brownian motion
• scientific article; zbMATH DE number 6193676
• Nonlinear filtering with fractional Brownian motion
• Abstract nonlinear filtering theory in the presence of fractional Brownian motion

Cites work

• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• A Bayes Formula for Gaussian Noise Processes and its Applications
• Abstract nonlinear filtering theory in the presence of fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Convergence in distribution of conditional expectations
• Dynamical equations for optimal nonlinear filtering
• Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises
• Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
• General approach to filtering with fractional brownian noises — application to linear systems
• Linear filtering with fractional Brownian motion in the signal and observation processes
• Linear filtering with fractional brownian motion
• On the optimal filtering of diffusion processes
• Signal detection in fractional Gaussian noise
• Uniqueness and robustness of solution of measure-valued equations of nonlinear filtering
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(16)

• Representations of the optimal filter in the context of nonlinear filtering of random fields with fractional noise
• Nonlinear filtering with fractional Brownian motion
• scientific article; zbMATH DE number 6193676 (Why is no real title available?)
• On the anticipative nonlinear filtering problem and its stability
• Nonlinear filtering with fractional Brownian motion
• A Bayes Formula for Gaussian Noise Processes and its Applications
• A nonlinear filter with fractional Gaussian noise
• Nonlinear filtering and fractional Brownian motion
• Large deviations for optimal filtering with fractional Brownian motion
• Nonlinear filtering of stochastic dynamical systems with Lévy noises
• Fractional generalizations of Zakai equation and some solution methods
• Identification of a Markovian system with observations corrupted by a fractional Brownian motion
• New method for optimal nonlinear filtering of noisy observations by multiple stochastic fractional integral expansions
• On the fractional stochastic filtering
• Stochastic evolution equations for nonlinear filtering of random fields in the presence of fractional Brownian sheet observation noise
• Linear filtering with fractional noises: large time and small noise asymptotics

This page was built for publication: Nonlinear Filtering with Fractional Brownian Motion Noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4678745)