分数布朗运动的线性滤波
Linear Filtering with Respect to Fractional Brownian Motion
摘要
本文利用正态相关性定理给出了关于分数布朗运动的线性滤波最佳估计.
This paper uses the theorem on normal correlation to give the optimal estimation for linear filtering with fractional Brownian motion.
出处
《应用数学》
CSCD
北大核心
2008年第S1期16-19,共4页
Mathematica Applicata
关键词
分数布朗运动
线性滤波
正态相关性定理
Fractional Brownian Motion
Linear filtering
The theorem on normal correlation
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