Nonlinear Filtering with Fractional Brownian Motion
Journal Article
·
· Applied Mathematics and Optimization
- 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, Journal Name: Applied Mathematics and Optimization Journal Issue: 2-3 Vol. 46; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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