Large deviations for optimal filtering with fractional Brownian motion

Vasileios Maroulas and Jie Xiong

Stochastic Processes and their Applications, 2013, vol. 123, issue 6, 2340-2352

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: Nonlinear filtering; Fractional Brownian motion; Large deviations (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:123:y:2013:i:6:p:2340-2352

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DOI: 10.1016/j.spa.2013.02.012

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