We develop the filtering theory in the case where both the signal and the observation are solutions of some stochastic differential equation driven by a multidimensional fractional Brownian motion. We show that the classical approach fails to give a closed equation for the filter and we develop another approach using an auxiliary process-valued semimartingale which solves this problem theoretically.
"Abstract nonlinear filtering theory in the presence of fractional Brownian motion." Ann. Appl. Probab. 9 (4) 1058 - 1090, November 1999. https://doi.org/10.1214/aoap/1029962865