Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems |
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| Authors: | ML Kleptsyna A Le Breton M-C Roubaud |
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| Institution: | (1) Institute of Information Transmission Problems, Russia;(2) Laboratoire de Modélisation et Calcul, Université J. Fourier, France;(3) LATP/ INRIA, Université J. Fourier, France |
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| Abstract: | Stochastic systems driven by fractional Brownian motions are investigated. At first analogs of the usual representation theorems and Girsanov s formula are derived. Then the tools are applied to solve some statistical problems of parameter estimation and optimal filtering. |
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| Keywords: | fractional Brownian motion innovation process Girsanov formula maximum likelihood optimal filtering |
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