Title of article :
Large deviations for optimal filtering with fractional Brownian motion
Author/Authors :
Maroulas، نويسنده , , Vasileios and Xiong، نويسنده , , Jie، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2013
Abstract :
We establish large deviation estimates for the optimal filter where the observation process is corrupted by a fractional Brownian motion. The observation process is transformed to an equivalent model which is driven by a standard Brownian motion. The large deviations in turn are established by proving qualitative properties of perturbations of the equivalent observation process.
Keywords :
Fractional Brownian motion , Nonlinear filtering , Large deviations
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications