Nonlinear Filtering with Fractional Brownian Motion
dc.contributor.author | Amirdjanova, | en_US |
dc.date.accessioned | 2006-09-08T20:16:22Z | |
dc.date.available | 2006-09-08T20:16:22Z | |
dc.date.issued | 2002-12-19 | en_US |
dc.identifier.citation | Amirdjanova,; (2002). "Nonlinear Filtering with Fractional Brownian Motion ." Applied Mathematics & Optimization 46 (2-3): 81-88. <http://hdl.handle.net/2027.42/42375> | en_US |
dc.identifier.issn | 0095-4616 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/42375 | |
dc.description.abstract | Abstract. Our objective is to study a nonlinear filtering problem for the observation process perturbed by a Fractional Brownian Motion (FBM) with Hurst index 1/2 <H<1 . A reproducing kernel Hilbert space for the FBM is considered and a ``fractional'' Zakai equation for the unnormalized optimal filter is derived. | en_US |
dc.format.extent | 93190 bytes | |
dc.format.extent | 3115 bytes | |
dc.format.mimetype | application/pdf | |
dc.format.mimetype | text/plain | |
dc.language.iso | en_US | |
dc.publisher | Springer-Verlag; Springer-Verlag New York Inc. | en_US |
dc.subject.other | Legacy | en_US |
dc.subject.other | Key Words. Nonlinear Filtering, Fractional Brownian Motion, Reproducing Kernel Hilbert Space, Stochastic Differential Equations. AMS Classification. 60H20, 60G15, 60G35. | en_US |
dc.title | Nonlinear Filtering with Fractional Brownian Motion | en_US |
dc.type | Article | en_US |
dc.subject.hlbsecondlevel | Industrial and Operations Engineering | en_US |
dc.subject.hlbsecondlevel | Mathematics | en_US |
dc.subject.hlbtoplevel | Engineering | en_US |
dc.subject.hlbtoplevel | Science | en_US |
dc.description.peerreviewed | Peer Reviewed | en_US |
dc.contributor.affiliationum | Department of Statistics, University of Michigan, Ann Arbor, MI 48109-1092, USA, US | en_US |
dc.contributor.affiliationumcampus | Ann Arbor | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/42375/1/20460081.pdf | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/s00245-002-0754-2 | en_US |
dc.identifier.source | Applied Mathematics & Optimization | en_US |
dc.owningcollname | Interdisciplinary and Peer-Reviewed |
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