Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156758 | Stochastic Processes and their Applications | 2013 | 13 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Vasileios Maroulas, Jie Xiong,