Linear filtering with fractional Brownian motion in the signal and observation processes.
International Journal of Stochastic Analysis, Tome 12 (1999) no. 1, p. 85.

Voir la notice de l'article dans European Digital Mathematics Library

DOI : 10.1155/S1048953399000076
Classification : 93E11, 60G20, 60G35
Mots-clés : fractional Brownian motion, optimal mean-square filter, theorem on normal correlation 
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Kleptsyna, M.L.; Kloeden, P.E.; Anh, V.V. Linear filtering with fractional Brownian motion in the signal and observation processes.. International Journal of Stochastic Analysis, Tome 12 (1999) no. 1, p. 85. doi : 10.1155/S1048953399000076. https://geodesic-test.mathdoc.fr/articles/10.1155/S1048953399000076/

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