Prediction and linear filtering with sub-fractional Brownian motion

zbMATH Open1156.60314MaRDI QIDQ5506142FDOQ5506142

Authors: Constantin Tudor 

Publication date: 28 January 2009

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zbMATH Keywords

Wiener integrallinear filteringsubfractional Brownian motionprediction formulaoptimal mean-square estimate

Mathematics Subject Classification ID

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

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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