Optimal filtering of linear system driven by fractional brownian motion
In this paper, we consider a continuous time filtering of a multi-dimensional Langevin stochastic differential system driven by a fractional Brownian motion process.It is shown that this filtering problem is equivalent to an optimal control proble m involving convolutional integrals in its dynami...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Dynamic Publishers, Inc.
2010
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| Subjects: | |
| Online Access: | https://repo.uum.edu.my/id/eprint/12540/1/WP03.pdf |