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.
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Amirdjanova, . Nonlinear Filtering with Fractional Brownian Motion . Appl Math Optim 46, 81–88 (2002). https://doi.org/10.1007/s00245-002-0754-2
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DOI: https://doi.org/10.1007/s00245-002-0754-2