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Optimal filtering of linear system driven by fractional brownian motion

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 proble m involving convolutional integrals in its dynami...

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Main Authors: Misiran, Masnita, Wu, Changzi, Lu, Zudi, Teo, K. L.
Format: Article
Language:English
Published: Dynamic Publishers, Inc. 2010
Subjects:
QA Mathematics
Online Access:http://repo.uum.edu.my/12540/1/WP03.pdf
http://repo.uum.edu.my/12540/
http://www.dynamicpublishers.org/journals/index.php/DSA/index
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spelling my.uum.repo.125402014-11-05T00:43:50Z http://repo.uum.edu.my/12540/ Optimal filtering of linear system driven by fractional brownian motion Misiran, Masnita Wu, Changzi Lu, Zudi Teo, K. L. QA Mathematics 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 proble m 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. Dynamic Publishers, Inc. 2010-03-09 Article PeerReviewed application/pdf en http://repo.uum.edu.my/12540/1/WP03.pdf Misiran, Masnita and Wu, Changzi and Lu, Zudi and Teo, K. L. (2010) Optimal filtering of linear system driven by fractional brownian motion. Dynamic Systems an Applications, 19 (2010). pp. 495-514. ISSN 1056-2176 http://www.dynamicpublishers.org/journals/index.php/DSA/index
institution Universiti Utara Malaysia
building UUM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Utara Malaysia
content_source UUM Institutionali Repository
url_provider http://repo.uum.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Misiran, Masnita
Wu, Changzi
Lu, Zudi
Teo, K. L.
Optimal filtering of linear system driven by fractional brownian motion
description 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 proble m 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.
format Article
author Misiran, Masnita
Wu, Changzi
Lu, Zudi
Teo, K. L.
author_facet Misiran, Masnita
Wu, Changzi
Lu, Zudi
Teo, K. L.
author_sort Misiran, Masnita
title Optimal filtering of linear system driven by fractional brownian motion
title_short Optimal filtering of linear system driven by fractional brownian motion
title_full Optimal filtering of linear system driven by fractional brownian motion
title_fullStr Optimal filtering of linear system driven by fractional brownian motion
title_full_unstemmed Optimal filtering of linear system driven by fractional brownian motion
title_sort optimal filtering of linear system driven by fractional brownian motion
publisher Dynamic Publishers, Inc.
publishDate 2010
url http://repo.uum.edu.my/12540/1/WP03.pdf
http://repo.uum.edu.my/12540/
http://www.dynamicpublishers.org/journals/index.php/DSA/index
_version_ 1644280938607149056
score 13.211869

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