Large deviations for optimal filtering with fractional Brownian motion

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.

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Year of publication:	2013
Authors:	Maroulas, Vasileios ; Xiong, Jie
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 6, p. 2340-2352
Publisher:	Elsevier
Subject:	Nonlinear filtering \| Fractional Brownian motion \| Large deviations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010875091