scientific article; zbMATH DE number 6193676

MaRDI QIDQ5326929zbMATH OpenFDO

Authors L. Gawarecki, V. S. Mandrekar

Publication date 1 August 2013

zbMATH Keywords

Bayes formulaGaussian martingale noise processnonlinear filtering

Mathematics Subject Classification ID

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

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Cited in

(7)

• Identification of a Markovian system with observations corrupted by a fractional Brownian motion
• Linear filtering of systems with memory and application to finance
• A nonlinear filter with fractional Gaussian noise
• A Bayes Formula for Gaussian Noise Processes and its Applications
• Nonlinear Filtering with Fractional Brownian Motion Noise
• Optimal Filtering of a Gaussian Signal in the Presence of Lévy Noise
• Linear filtering with fractional noises: large time and small noise asymptotics

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