Large deviations for optimal filtering with fractional Brownian motion

被引：14

作者：

Maroulas, Vasileios ^{[1
]}

Xiong, Jie ^{[1
,2
]}

机构：

[1] Univ Tennessee, Dept Math, Knoxville, TN 37996 USA

[2] Univ Macau, FST, Dept Math, Macau, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2013年 / 123卷 / 06期

基金：

美国国家科学基金会;

关键词：

Nonlinear filtering; Fractional Brownian motion; Large deviations; WENTZELL LARGE DEVIATIONS; EQUATIONS; FLOWS;

D O I：

10.1016/j.spa.2013.02.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：2340 / 2352

页数：13

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