Linear filtering with fractional Brownian motion in the signal and observation processes.

Kleptsyna, M.L., Kloeden, P.E., and Anh, V.V.. "Linear filtering with fractional Brownian motion in the signal and observation processes.." Journal of Applied Mathematics and Stochastic Analysis 12.1 (1999): 85-90. <http://eudml.org/doc/48326>.

@article{Kleptsyna1999,
author = {Kleptsyna, M.L., Kloeden, P.E., Anh, V.V.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {fractional Brownian motion; optimal mean-square filter; theorem on normal correlation},
language = {eng},
number = {1},
pages = {85-90},
publisher = {Hindawi Publishing Corporation, New York},
title = {Linear filtering with fractional Brownian motion in the signal and observation processes.},
url = {http://eudml.org/doc/48326},
volume = {12},
year = {1999},
}

TY - JOUR
AU - Kleptsyna, M.L.
AU - Kloeden, P.E.
AU - Anh, V.V.
TI - Linear filtering with fractional Brownian motion in the signal and observation processes.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 1999
PB - Hindawi Publishing Corporation, New York
VL - 12
IS - 1
SP - 85
EP - 90
LA - eng
KW - fractional Brownian motion; optimal mean-square filter; theorem on normal correlation
UR - http://eudml.org/doc/48326
ER -