A NOTE ON FRACTIONAL KALMAN-BUCY FILTERING

Tran Hung Thao

Abstract


A new approach to fractional Kalman-Bucy filtering is introduced,
based on authors results on semimartingale L^2-approximation applied
to fractional stochastics. Method of nonlinear filtering is used in the
process of determining the filter.

Full Text:

PDF

Refbacks

  • There are currently no refbacks.