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$Asymptotically optimal filtering in linear systems with fractional Brownian noises$

14 p, 93.6 KB

Asymptotically optimal filtering in linear systems with fractional Brownian noises / Breton, Alain Le (Université J. Fourier) ; Kleptsyna, Marina L. (Université du Maine) ; Viot, Michel (Université J. Fourier)
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.
2004
SORT : statistics and operations research transactions, Vol. 28, Núm. 2 (July-December 2004) , p. 177-190

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