Peculiarities of stochastic processes with fractal properties and their applications in problems of navigation information processing

Abstract

The model of random process with the memory in the form of fractional Brownian motion is offered. The estimation problem definition and its solution within the Bayesian approach for processing the random processes with memory is given in relation to the navigation problems. The application of filtering to the scalar process of fractional Brownian motion is shown by means of the optimum non-recurrent linear filter and the Kalman filter on the example.