Nonlinear Filtering With Fractional Brownian Motion
  
Key Words: nonlinear filtering   fractional Brownian motion   reproducing kernel Hilbert space   stochastic differential equations.  
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Author NameAffiliation
CHEN Yao-hui Dept. of Math.
Huazhong University of Science and Technology
Wuhan
China
School of Economics
Nanjing University of Finance & Economics
Jiangsu
China 
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Abstract:
      In this paper, we study a nonlinear filtering problem for the observation process perturbed by a Fractional Brownian Motion (FBM) with Hurst index 1/2 < H < 1. A reproducing kernel Hilbert space for the FBM is considered and a fractional Zakai equation fo
Citation:
DOI:10.3770/j.issn:1000-341X.2005.04.023
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