کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156758 958865 2013 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Large deviations for optimal filtering with fractional Brownian motion
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Large deviations for optimal filtering with fractional Brownian motion
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 6, June 2013, Pages 2340-2352
نویسندگان
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