Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 55-67 |
| Number of pages | 13 |
| Journal | Stochastic Analysis and Applications |
| Volume | 23 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Jan 2005 |
| Externally published | Yes |
Keywords
- Fractional Brownian motions
- Kushner-FKK equation
- Martingale problem
- Nonlinear filtering
- Zakai equation
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Applied Mathematics