Linear filtering with fractional Brownian motion in the signal and observation processes

[摘要] Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst indexh∈(3/4,1)and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process.

[学科分类] 应用数学