Identification of a Markovian system with observations corrupted by a fractional Brownian motion

We examine the continuous time analogue of the work of [Shumway, R.H., Stoffer, D.S., 1982. An approach to time series smoothing and forecasting using EM algorithm. J. Time Ser. 3, 253–264] for state space models when the noise in the observation process is a fractional Brownian motion. We study the estimation problem for the parameter of the system process.