Prediction and linear filtering with sub-fractional Brownian motion

MaRDI QIDQ5506142zbMATH OpenFDO

Authors Constantin Tudor

Publication date 28 January 2009

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)

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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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