Nonlinear filtering with Fractional Brownian Motion

Applied Mathematics and Optimization

Volumn 46, Issue 2-3, 2002, Pages 81-88

  Amirdjanova, Anna ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Fractional Brownian motion; Nonlinear filtering; Reproducing kernel Hilbert space; Stochastic differential equations

Indexed keywords

BOUNDARY CONDITIONS; DIFFERENTIAL EQUATIONS; INTEGRAL EQUATIONS; MARKOV PROCESSES; MATHEMATICAL MODELS; NONLINEAR FILTERING; PERTURBATION TECHNIQUES;

FRACTIONAL BROWNIAN MOTION; HILBERT SPACE; HURST INDEX; REPRODUCING KERNEL; STOCHASTIC DIFFERENTIAL EQUATIONS; ZAKAI EQUATION;

BROWNIAN MOVEMENT;

EID: 0141973218     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00245-002-0754-2     Document Type: Article

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