Article ID Journal Published Year Pages File Type
1156758 Stochastic Processes and their Applications 2013 13 Pages PDF
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
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