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Some Stochastic Systems with a Fractional Brownian Motion and Applications to Control

Some Stochastic Systems with a Fractional Brownian Motion and Applications to Control. Author: T. E. Duncan Presenter: Haiyang Chao Ph.D. Student Utah State Univ. 12/06/2007. Paper Contents.

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Some Stochastic Systems with a Fractional Brownian Motion and Applications to Control

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  1. Some Stochastic Systems with a Fractional Brownian Motion andApplications to Control Author: T. E. Duncan Presenter: Haiyang Chao Ph.D. Student Utah State Univ. 12/06/2007

  2. Paper Contents • Some stochastic systems are considered that are described by stochastic differential equations with a fractional Brownian motion. • An estimation problem for a stochastic signal observed with an additive fractional Brownian motion is formulated and solved.

  3. Fractional Brownian Motion • Ordinary Brownian Motion is a real random function with independent Gaussian increments.

  4. Theorem

  5. Application 1: Stochastic Control

  6. Application 2: Estimation

  7. Thank you! • Reference • Fractional Brownian motions, fractional noises and applications, M & Van Ness, 1968, SIAM review.

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