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

Abstract

top
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.

How to cite

top

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

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

                
Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.