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تسجيل مستخدم جديدLinear filtering with fractional noises: large time and small noise asymptotics
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This paper suggests a new approach to error analysis in the filtering problem for continuous time linear system driven by fractional Brownian noises. We establish existence of the large time limit of the filtering error and determine its scaling exponent with respect to the vanishing observation noise intensity. Closed form expressions are obtained in a number of important special cases.
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