Abstract nonlinear filtering theory in the presence of fractional Brownian motion
Coutin, L. ; Decreusefond, L.
Ann. Appl. Probab., Tome 9 (1999) no. 1, p. 1058-1090 / Harvested from Project Euclid
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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.
Publié le : 1999-11-14
Classification:  Filtering theory,  fractional Brownian motion,  Malliavin calculus,  stochastic differential equation,  60H07,  60H10,  60H20 
@article{1029962865,
     author = {Coutin, L. and Decreusefond, L.},
     title = {Abstract nonlinear filtering theory in the presence of fractional
		 Brownian motion},
     journal = {Ann. Appl. Probab.},
     volume = {9},
     number = {1},
     year = {1999},
     pages = { 1058-1090},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1029962865}
}

Coutin, L.; Decreusefond, L. Abstract nonlinear filtering theory in the presence of fractional
		 Brownian motion. Ann. Appl. Probab., Tome 9 (1999) no. 1, pp.  1058-1090. http://gdmltest.u-ga.fr/item/1029962865/