# Asymptotically optimal filtering in linear systems with fractional Brownian noises.

Marina L. Kleptsyna; Alain Le Breton; Michel Viot

SORT (2004)

- Volume: 28, Issue: 2, page 177-190
- ISSN: 1696-2281

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topKleptsyna, Marina L., Le Breton, Alain, and Viot, Michel. "Asymptotically optimal filtering in linear systems with fractional Brownian noises.." SORT 28.2 (2004): 177-190. <http://eudml.org/doc/40457>.

@article{Kleptsyna2004,

abstract = {In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.},

author = {Kleptsyna, Marina L., Le Breton, Alain, Viot, Michel},

journal = {SORT},

keywords = {Procesos estocásticos; Proceso de Gauss; Ruido blanco; Movimiento browniano; Filtrado; Control óptimo; fractional Brownian motion; homogeneous linear system; optimal filtering; filtering error; asymptotic variance},

language = {eng},

number = {2},

pages = {177-190},

title = {Asymptotically optimal filtering in linear systems with fractional Brownian noises.},

url = {http://eudml.org/doc/40457},

volume = {28},

year = {2004},

}

TY - JOUR

AU - Kleptsyna, Marina L.

AU - Le Breton, Alain

AU - Viot, Michel

TI - Asymptotically optimal filtering in linear systems with fractional Brownian noises.

JO - SORT

PY - 2004

VL - 28

IS - 2

SP - 177

EP - 190

AB - In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.

LA - eng

KW - Procesos estocásticos; Proceso de Gauss; Ruido blanco; Movimiento browniano; Filtrado; Control óptimo; fractional Brownian motion; homogeneous linear system; optimal filtering; filtering error; asymptotic variance

UR - http://eudml.org/doc/40457

ER -

## Citations in EuDML Documents

top- Marina L. Kleptsyna, Alain Le Breton, Michel Viot, On the infinite time horizon linear-quadratic regulator problem under a fractional brownian perturbation
- Marina L. Kleptsyna, Alain Le Breton, Michel Viot, On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation
- Marina L. Kleptsyna, Alain Le Breton, Michel Viot, Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation

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