TY  - JOUR
A1  - Kleptsyna, Marina L.
A1  - Kloeden, Peter E.
A1  - Anh, Vo Van
T1  - Linear filtering with fractional Brownian motion in the signal and observation processes
T2  - Journal of applied mathematics and stochastic analysis
N2  - Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1) and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process. AMS subject classifications: 93E11, 60G20, 60G35.
KW  - Linear Filtering
KW  - Fractional Brownian Motion
KW  - Long- Range Dependence
KW  - Optimal Mean-Square Filter
Y1  - 2012
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/24338
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-243383
SN  - 1048-9533
N1  - Copyright © 1999 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License http://creativecommons.org/licenses/by/3.0/ , which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
VL  - 12
IS  - 1
SP  - 85
EP  - 90
PB  - Hindawi
CY  - New York, NY
ER  -