Nonlinear Filtering with Fractional Brownian Motion

Journal Article · Thu Dec 19 00:00:00 EST 2002 · Applied Mathematics and Optimization

DOI:https://doi.org/10.1007/S00245-002-0754-2· OSTI ID:21064241

Amirdjanova, A ^[1]

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1. Department of Statistics, University of Michigan, Ann Arbor, MI 48109-1092 (United States)

Our objective is to study a nonlinear filtering problem for the observation process perturbed by a Fractional Brownian Motion (FBM) with Hurst index 1/2 <H<1 . A reproducing kernel Hilbert space for the FBM is considered and a 'fractional' Zakai equation for the unnormalized optimal filter is derived.

• OSTI ID: 21064241
• Journal Information: Applied Mathematics and Optimization, Vol. 46, Issue 2-3; Other Information: DOI: 10.1007/s00245-002-0754-2; Copyright (c) 2002 Springer-Verlag New York Inc.; Article Copyright (c) Inc. 2002 Springer-Verlag New York; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
• Country of Publication: United States
• Language: English

Related Subjects

71 CLASSICAL AND QUANTUM MECHANICS
GENERAL PHYSICS
BROWNIAN MOVEMENT
EQUATIONS
HILBERT SPACE
INDEXES
NONLINEAR PROBLEMS
PERTURBATION THEORY