Linear filtering with fractional Brownian motion in the signal and observation processes

Integral equations for the mean-square estimate are obtained for the linear filtering problem, in which the noise generating the signal is a fractional Brownian motion with Hurst index h∈(3/4,1) and the noise in the observation process includes a fractional Brownian motion as well as a Wiener process. AMS subject classifications: 93E11, 60G20, 60G35

On the exchange of intersection and supremum of sigma-fields in filtering theory

We construct a stationary Markov process with trivial tail sigma-field and a nondegenerate observation process such that the corresponding nonlinear filtering process is not uniquely ergodic. This settles in the negative a conjecture of the author in the ergodic theory of nonlinear filters arising from an erroneous proof in the classic paper of H. Kunita (1971), wherein an exchange of intersection and supremum of sigma-fields is taken for granted.Comment: 20 page

Thermodynamics of an interacting trapped Bose-Einstein gas in the classical field approximation

We present a convenient technique describing the condensate in dynamical equilibrium with the thermal cloud, at temperatures close to the critical one. We show that the whole isolated system may be viewed as a single classical field undergoing nonlinear dynamics leading to a steady state. In our procedure it is the observation process and the finite detection time that allow for splitting the system into the condensate and the thermal cloud.Comment: 4 pages, 4 eps figures, final versio