Linear Filtering for Discrete Time Systems Driven by Fractional Noises

Abstract: In this paper, we study the discrete time filtering problems for linear systems driven by fractional noises. The main difficulty comes from the non-Markovian of the noises. We construct the difference equation of the covariance process through the properties of the noises and transform the filtering problem to an optimal control problem. We obtain the necessary condition that the coefficients of the optimal filter should satisfy and show there is no consistent optimal filter, which is a significant difference from the classical Kalman filter. Finally, a simple example is considered to illustrate the main results. Further more, our method could also deal with systems driven by any other colored noises, as long as the self-covariation function is known.