Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals

DOI10.1155/S104895330100017XMaRDI QIDQ5952364zbMATH OpenFDO

Authors Marina Kleptsyna, Alain Le Breton

Publication date 30 June 2002

Published in Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/49267

zbMATH Keywords

Cameron-Martin formulacontinuous martingalefiltering errorGaussian processoptimal filteringRiccati-Volterra equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

Review text

The optimal filtering problem for multidimensional continuous (possibly non-Markovian) Gaussian processes, observed through a linear channel driven by a Brownian motion, is revisited. Explicit Volterra type filtering equations involving the covariance function of the filtered process are derived both for the conditional mean and for the covariance of the filtering error. The solution of the filtering problem is applied to obtain a Cameron-Martin type formula for Laplace transforms of a quadratic functional of the process. Particular cases for which the results can be further elaborated are investigated.

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• Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
• Asymptotic stability of beneš filters
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• Adaptive finite‐dimensional optimal linear filtering of nD smooth Gaussian random fields
• Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions
• Parameter-dependent filtering of Gaussian processes in Hilbert spaces
• Linear filtering of a two-dimensional process with stationary components having quasirational joint spectral density

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