Abstract
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
Open Access
Linear filtering with fractional Brownian motion in the signal and observation processes
Received01 Dec 1997
Revised01 Jul 1998
Copyright
Copyright © 1999 Hindawi Publishing Corporation. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.