Optimal Filtering of Linear System Driven by Fractional Brownian Motion

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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...

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Bibliographic Details
Main Authors:	Misiran, Masnita, Wu, C., Lu, Z., Teo, Kok Lay
Format:	Journal Article
Published:	Dynamic Publishers 2010
Subjects:	fractional Brownian motion approximation scheme convolutional integrals optimal control approximate optimal control computation linear filtering
Online Access:	http://hdl.handle.net/20.500.11937/9384

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