| 基于分数布朗运动的非线性滤波 |
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| 引用本文： | 陈耀辉.基于分数布朗运动的非线性滤波[J].数学研究及应用,2005,25(4):703-708. |
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| 作者姓名： | 陈耀辉 |
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| 作者单位： | 华中科技大学数学系,湖北,武汉,430074;南京财经大学经济学院,江苏,南京,210046 |
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| 摘 要： | 本文研究一类由Host指数为1/2
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| 关 键 词： | 非线性滤波 分数布朗运动 再生核希尔伯特空间 随机微分方程 |
| 文章编号： | 1000-341X(2005)04-0703-06 |
| 收稿时间： | 05 14 2003 12:00AM |
| 修稿时间： | 2003年5月14日 |
Nonlinear Filtering With Fractional Brownian Motion |
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| CHEN Yao-hui.Nonlinear Filtering With Fractional Brownian Motion[J].Journal of Mathematical Research with Applications,2005,25(4):703-708. |
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| Authors: | CHEN Yao-hui |
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| Institution: | Dept. of Math.; Huazhong University of Science and Technology; Wuhan; China; School of Economics; Nanjing University of Finance & Economics; Jiangsu; China |
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| Abstract: | In this paper, we study a nonlinear filtering problem for the observation process perturbed by a Fractional Brownian Motion (FBM) with Hurst index 1/2 < H < 1. A reproducing kernel Hilbert space for the FBM is considered and a fractional Zakai equation for the unnormalized optimal filter is derived. |
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| Keywords: | nonlinear filtering fractional Brownian motion reproducing kernel Hilbert space stochastic differential equations |
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