M. L. Kleptsyna, P. E. Kloeden, V. V. Anh, "Linear filtering with fractional Brownian motion in the signal and observation processes", International Journal of Stochastic Analysis, vol. 12, Article ID 369754, 6 pages, 1999. https://doi.org/10.1155/S1048953399000076
Linear filtering with fractional Brownian motion in the signal and observation processes
Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process.
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