Translator Disclaimer
VOL. 45 | 2004 Non-linear filtering with Gaussian martingale noise: Kalman filter with fBm noise

Abstract

We consider non-linear filtering problem with Gaussian martingales as a noise process, and obtain iterative equations for the optimal filter. We apply that result in the case of fractional Browian motion noise process and derive Kalman type equations in the linear case.

Information

Published: 1 January 2004
First available in Project Euclid: 28 November 2007

zbMATH: 1268.60050
MathSciNet: MR2126889

Digital Object Identifier: 10.1214/lnms/1196285382

Subjects:
Primary: 60G15, 60G35, 62M20, 93E11

Rights: Copyright © 2004, Institute of Mathematical Statistics

CHAPTER
6 PAGES


SHARE
Vol. 45 • 1 January 2004
Back to Top