Prediction and linear filtering with sub-fractional Brownian motion

MaRDI QIDQ5506142zbMATH OpenFDO

Authors Constantin Tudor

Publication date 28 January 2009

zbMATH Keywords

linear filteringoptimal mean-square estimateprediction formulasubfractional Brownian motionWiener integral

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Signal detection and filtering (aspects of stochastic processes) (60G35) Filtering in stochastic control theory (93E11)

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Cited in

(2)

• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• Prediction of Fractional Brownian Motion-Type Processes

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