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
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