Linear filtering with fractional Brownian motion

Stochastic Analysis and Applications

Volumn 16, Issue 5, 1998, Pages 907-914

  Kleptsyna, M L ^a   Kloeden, P E ^b   Anh, V V ^c  

^a INSTITUTE FOR INFORMATION TRANSMISSION PROBLEMS   (Russian Federation)

^b WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^c QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Fractional Brownian motion; Linear filtering problem; Long range dependence; Optimal mean square filter

Indexed keywords

EID: 0032392894     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1080/07362999808809569     Document Type: Article

References (6)

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3. R.S. Liptser and A.N. Shiryayev, Theory of Martingales. Springer-Verlag, Berlin, 1984.
4. B.B. Mandelbrot and J.W. Van Ness, Fractional Brownian motion, fractional noises and applications, SIAM Review. 10, 1968, 422-437.
5. B.L. Rozovskii, Evolutionary Stochastic Systems. Linear Theory with Applications to the Statistics of Random Processes. Nauka, Moscow, 1983
6. G. Samorodnitsky and M.S. Taqqu, Stable Non-Gaussian Random Processes. Chapman & Hall, New York, 1994.