Non-linear filtering with Gaussian martingale noise: Kalman filter with fBm noise
Leszek Gawarecki, Vidyadhar S. Mandrekar · Lecture notes-monograph series · 2004
We consider non-linear filtering problem with Gaussian martingales as a noise process, and obtain iterative equations for the optimal filter. We apply that result in the case of fractional Browian motion noise process and derive Kalman type equations in the linear case.