Optimal filtration for systems with fractional Brownian noises

Author:
S. V. Posashkov

Translated by:
V. Semenov

Original publication:
Teoriya Imovirnostei ta Matematichna Statistika, tom **72** (2005).

Journal:
Theor. Probability and Math. Statist. **72** (2006), 135-144

MSC (2000):
Primary 60G35; Secondary 60G15, 60H05, 60J65

Published electronically:
September 5, 2006

MathSciNet review:
2168143

Full-text PDF Free Access

Abstract | References | Similar Articles | Additional Information

Abstract: We consider the problem of the optimal filtration for systems with the noise being a multivariate fractional Brownian motion. We partially solve the problem of the optimal filtration for nonlinear systems. The system of equations for the optimal filtration is obtained in the case of linear systems.

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Additional Information

**S. V. Posashkov**

Affiliation:
Department of Probability Theory and Mathematical Statistics, Faculty for Mathematics and Mechanics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine

DOI:
http://dx.doi.org/10.1090/S0094-9000-06-00671-5

Keywords:
Problem of filtration,
fractional Brownian motion

Received by editor(s):
July 2, 2004

Published electronically:
September 5, 2006

Article copyright:
© Copyright 2006
American Mathematical Society