dc.contributor.author | Ahmed, N. U. | en |
dc.contributor.author | Charalambous, Charalambos D. | en |
dc.creator | Ahmed, N. U. | en |
dc.creator | Charalambous, Charalambos D. | en |
dc.date.accessioned | 2019-04-08T07:44:35Z | |
dc.date.available | 2019-04-08T07:44:35Z | |
dc.date.issued | 2000 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/42724 | |
dc.description.abstract | 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 equations giving the error co-variance (matrix-valued) function and the filter. These equations are the appropriate substitutes of the matrix-Riccati differential equation arising in classical Kalman filtering. However the optimum filter has the classical appearance and, as usual, it is driven by the increments of the observed process. Our derivation is based on the same general principles as used in [5,6,7]. | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | en |
dc.source | Proceedings of the IEEE Conference on Decision and Control | en |
dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034442351&partnerID=40&md5=ae6c5d8474d4ccf51fcf70279730c0a6 | |
dc.subject | Mathematical models | en |
dc.subject | Random processes | en |
dc.subject | Linear control systems | en |
dc.subject | Riccati equations | en |
dc.subject | Brownian movement | en |
dc.subject | Kalman filtering | en |
dc.subject | Fractional brownian motion | en |
dc.subject | Optimum linear filter equations | en |
dc.title | Filtering for linear systems driven by fractional Brownian motion | en |
dc.type | info:eu-repo/semantics/conferenceObject | |
dc.description.volume | 5 | |
dc.description.startingpage | 4259 | |
dc.description.endingpage | 4263 | |
dc.author.faculty | Πολυτεχνική Σχολή / Faculty of Engineering | |
dc.author.department | Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering | |
dc.type.uhtype | Conference Object | en |
dc.contributor.orcid | Charalambous, Charalambos D. [0000-0002-2168-0231] | |
dc.gnosis.orcid | 0000-0002-2168-0231 | |