Abstract. Our objective is to 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.
Applied Mathematics and Optimization – Springer Journals
Published: Dec 19, 2002
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