Browsing by Subject "Fractional brownian motion"

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    • Article  

      Filtering for linear systems driven by fractional Brownian motion 

      Ahmed, N. U.; Charalambous, Charalambos D. (2003)
      In this paper we study continuous time filtering for linear multidimensional systems driven by fractional Brownian motion processes. We present the derivation of the optimum linear filter equations which involve a pair of ...
    • Conference Object  

      Filtering for linear systems driven by fractional Brownian motion 

      Ahmed, N. U.; Charalambous, Charalambos D. (2000)
      In this paper we study continuous time filtering for linear systems driven by fractional Brownian motion processes. We present the derivation of the optimum linear filter equations which involve a pair of functional-differential ...