On the stability of nonlinear Feynman-Kac semigroups
Optimal filtering for bilinear system states and its application to terpolymerization process identification.
Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.
Optimal state estimation of a Markov process from point process observations
Optimal transmission of Gaussian signals through a feedback channel.
Option price when the stock is a semimartingale.
Original title unknown
Perfect filtering and double disjointness
Positive Matrix Functions on the Bitorus with Prescribed Fourier Coefficients in a Band.
Power spectrum of the periodic group pulse process
Power spectrum of the quasiperiodic and the aperiodic group pulse process
Principe de grandes déviations en théorie du filtrage non linéaire et algèbres de Lie Nilpotentes
Quadratic estimation from non-independent uncertain observations with coloured noise.
Recursive least-squares quadratic filtering and fixed-point smoothing algorithms for signal estimation from uncertain observations are derived when the uncertainty is modeled by not necessarily independent variables and the observations contain white plus coloured noise. The proposed estimators do not require the knowledge of the state-space of the model generating the signal, but only the moments, up to the fourth one, of the processes involved, along with the probability that the signal exists...
Quadratic variations and estimation of the local Hölder index of a gaussian process
Representation and prediction for locally harmonizable isotropic random fields.
Robust Filtering for Correlated Multidimensional Oberservations.
Robust quasi-linear system identification
Sampling formulae for symmetric selection.
Signal extraction for a class of nonstationary processes.
Some problems of exponential smoothing
The paper deals with some practical problems connected with the classical exponential smoothing in time series. The fundamental theorem of the exponential smoothing is extended to the case with missing observations and an interpolation procedure in the framework of the exponential smoothing is described. A simple method of the exponential smoothing for multivariate time series is suggested.