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Korean Mathematical Society JKMS

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J. Korean Math. Soc. 2018; 55(5): 1063-1073

Online first article August 7, 2018      Printed September 1, 2018

https://doi.org/10.4134/JKMS.j170463

Copyright © The Korean Mathematical Society.

Estimation of drift parameter and change point via Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and observation driven by a Brownian motion

Mahendra Nath Mishra, Bhagavatula Lakshmi Surya Prakasa Rao

Institute of Mathematics and its Applications, CR Rao Advanced Institute of Mathematics

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We study the estimation of the drift parameter and the change point obtained through a Kalman-Bucy filter for linear systems with signal driven by a fractional Brownian motion and the observation driven by a Brownian motion.

Keywords: fractional Brownian motion, linear systems, optimal filtering, Kalman-Bucy filter, innovation process

MSC numbers: Primary 62M20, 60G22, 60G35, 93E11; Secondary 62M20, 60G22, 60G35, 93E11

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