FRACTIONAL ORNSTEIN-UHLENBECK SIGNAL PROCESSING

Tran Hung Thao; Tran Manh Tuong; Tran Phuoc Loc

Tran Hung Thao
Tran Manh Tuong
Tran Phuoc Loc

Keywords: Fractional Ornstein-Uhlenbeck signal, L2−approximation approach, fractional Brownian motion

Abstract

In this paper we consider a problem of signal processing where the signal is expressed by a fractional Ornstein-Uhlenbeck process in general
form. An explicit form of the signal is derived from a fractional Langevin equation. A method of L2−approximation is used to find the approximate estimate for the state of the fractional signal and the convergence to the optimal estimate is established.