Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems |
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Authors: | M.L. Kleptsyna A. Le Breton M.-C. Roubaud |
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Affiliation: | (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 Girsanovs 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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