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
Pages :
13
From page :
2340
To page :
2352
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
Serial Year :
2013
Journal title :
Stochastic Processes and their Applications
Record number :
1578955
Link To Document :
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