TY - JOUR
T1 - Non-linear filtering with Gaussian martingale noise: Kalman filter with fBm noise
AU - Gawarecki, Leszek
AU - Mandrekar, Vidyadhar
N1 - Gawarecki, L.; Mandrekar, V. Non-linear filtering with Gaussian martingale noise: Kalman filter with fBm noise. A Festschrift for Herman Rubin, 92--97, Institute of Mathematical Statistics, Beachwood, Ohio, USA, 2004. doi:10.1214/lnms/1196285382. https://projecteuclid.org/euclid.lnms/1196285382
PY - 2004/1/1
Y1 - 2004/1/1
N2 - We consider non-linear filtering problem with Gaussian martingales as a noise process, and obtain iterative equations for the optimal filter. We apply that result in the case of fractional Browian motion noise process and derive Kalman type equations in the linear case.
AB - We consider non-linear filtering problem with Gaussian martingales as a noise process, and obtain iterative equations for the optimal filter. We apply that result in the case of fractional Browian motion noise process and derive Kalman type equations in the linear case.
KW - non-linear filtering
KW - Gaussian martingale noise process
KW - Bayes fromula
KW - FKK equation
KW - fractional Browian motion
KW - Kalman equations
UR - https://digitalcommons.kettering.edu/mathematics_facultypubs/4
UR - https://projecteuclid.org/download/pdf_1/euclid.lnms/1196285382
U2 - 10.1214/lnms/1196285382
DO - 10.1214/lnms/1196285382
M3 - Article
VL - 45
JO - The Institute of Mathematical Statistics Lecture Notes - Monograph Series
JF - The Institute of Mathematical Statistics Lecture Notes - Monograph Series
ER -