Linear filtering with fractional Brownian motion in the signal and observation processes
- 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.
| Author: | Marina L. Kleptsyna, Peter E. Kloeden, Vo Van Anh |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-243383 |
| DOI: | https://doi.org/10.1155/S1048953399000076 |
| ISSN: | 1048-9533 |
| Parent Title (English): | Journal of applied mathematics and stochastic analysis |
| Publisher: | Hindawi |
| Place of publication: | New York, NY |
| Document Type: | Article |
| Language: | English |
| Year of Completion: | 2012 |
| Year of first Publication: | 1999 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2012/05/31 |
| Tag: | Fractional Brownian Motion; Linear Filtering; Long- Range Dependence; Optimal Mean-Square Filter |
| Volume: | 12 |
| Issue: | 1 |
| Page Number: | 6 |
| First Page: | 85 |
| Last Page: | 90 |
| Note: | 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. |
| HeBIS-PPN: | 303720212 |
| Institutes: | Informatik und Mathematik / Mathematik |
| Dewey Decimal Classification: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Creative Commons - Namensnennung 3.0 |
