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
Keywords:
Bayes fromula
,
FKK equation
,
fractional Browian motion
,
Gaussian martingale noise process
,
Kalman equations
,
non-linear filtering
Rights: Copyright © 2004, Institute of Mathematical Statistics
