OPTIMAL FILTERING OF LINEAR SYSTEM DRIVEN BY FRACTIONAL BROWNIAN MOTION

TitleOPTIMAL FILTERING OF LINEAR SYSTEM DRIVEN BY FRACTIONAL BROWNIAN MOTION
Publication TypeJournal Article
Year of Publication2010
AuthorsMISIRAN MASNITA, WU CHANGZI, LU ZUDI, TEO K.L
JournalDynamic Systems and Applications
Volume19
Start Page495
Pagination19
Date Published2010
ISSN1056-2176
AMS Subject Classification41A50
Abstract

In this paper, we consider a continuous time filtering of a multi-dimensional Langevin stochastic differential system driven by a fractional Brownian motion process. It is shown that this filtering problem is equivalent to an optimal control problem involving convolutional integrals in its dynamical system. Then, a novel approximation scheme is developed and applied to this optimal control problem. It yields a sequence of standard optimal control problems. The convergence of the approximate standard optimal control problem to the optimal control problem involving convolutional integrals in its system dynamics is established. Two numerical examples are solved by using the method proposed. The results obtained clearly demonstrate its efficiency and effectiveness.

PDFhttps://acadsol.eu/dsa/articles/19/34-DSA-30-09.pdf
Refereed DesignationRefereed