Abstract nonlinear filtering theory in the presence of fractional Brownian motion
成果类型：
Article
署名作者：
Coutin, L; Decreusefond, L
署名单位：
Universite de Toulouse; Universite Toulouse III - Paul Sabatier; IMT - Institut Mines-Telecom; IMT Atlantique
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
发表日期：
1999
页码：
1058-1090
关键词：
摘要：
We develop the filtering theory in the case where both the signal and the observation are solutions of some stochastic differential equation driven by a multidimensional fractional Brownian motion. We show that the classical approach fails to give a closed equation for the filter and we develop another approach using an auxiliary process-valued semimartingale which solves this problem theoretically.