Nonlinear filtering with fractional Brownian motion noise

被引：5
|
作者：
Zhao, X [1 ]
Zhao, XQ
机构：
[1] Univ Tennessee, Dept Math, Knoxville, TN 37996 USA
[2] Univ Alberta, Dept Math & Stat Sci, Edmonton, AB, Canada
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2005年 / 23卷 / 01期
关键词：
fractional Brownian motions; Kushner-FKK equation; martingale problem; nonlinear filtering; Zakai equation;
D O I：
10.1081/SAP-20044429
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we consider the nonlinear filtering problem for the signal process corrupted by fractional Brownian motion noise. The signal process is assumed to be a Markov diffusion process. We obtain the Zakai equation and the Kushner-FKK equation in this setup. We also prove uniqueness of solution to these equations.
引用
收藏
页码：55 / 67
页数：13
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