• 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