An Elementary Approach to Filtering in Systems with Fractional Brownian Observation Noise

M.L. Kleptsyna 1 A. Le Breton M. C. Roubaud
1 SYSDYS - Stochastic Dynamical Systems
CRISAM - Inria Sophia Antipolis - Méditerranée
Abstract : The problem of optimal filtering is addressed for a signal observed through a possibly nonlinear channel driven by a fractional Brownian motion. An elementary and completely self-contained approach is developed. An appropriate Girsanov type result is proved and a process -- equivalent to the innovation process in the usual situation where the observation noise is a Brownian motion -- is introduced. Zakai's approach is partly extended to derive filtering equations when the signal process is a diffusion. The case of conditionally Gaussian linear systems is analyzed. Closed form equations are derived both for the mean of the optimal filter and the conditional variance of the filtering error. The results are explicit in various special cases.
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Rapport
RR-3439, INRIA. 1998
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M.L. Kleptsyna, A. Le Breton, M. C. Roubaud. An Elementary Approach to Filtering in Systems with Fractional Brownian Observation Noise. RR-3439, INRIA. 1998. 〈inria-00073251〉

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