Large deviations for optimal filtering with fractional Brownian motion

DOI10.1016/J.SPA.2013.02.012zbMath1295.60049OpenAlexW2003495467MaRDI QIDQ2444644

Jie Xiong, Vasileios Maroulas

Publication date: 10 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.02.012

zbMATH Keywords

fractional Brownian motionnonlinear filteringlarge deviations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Signal detection and filtering (aspects of stochastic processes) (60G35) Large deviations (60F10)

Related Items (6)

Some Large Deviation Asymptotics in Small Noise Filtering Problems ⋮ Estimation of robot states with Poisson process based on EKF approximate of Kushner filter: a completely coordinate free Lie group approach ⋮ Large deviations of time-averaged statistics for Gaussian processes ⋮ Consistency and asymptotics of a Poisson intensity least-squares estimator for partially observed jump-diffusion processes ⋮ Large deviations for the optimal filter of nonlinear dynamical systems driven by Lévy noise ⋮ Large deviations of mean-field stochastic differential equations with jumps

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