Optimal Filtering of Linear System Driven by Fractional Brownian Motion
In this paper, we consider a continuous time filtering of a multi-dimensional Langevin stochastic differential system driven by a fractional Brownian motion process. It is shown that this filtering problem is equivalent to an optimal control problem involving convolutional integrals in its dynamical...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Dynamic Publishers
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/9384 |