Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.
Kleptsyna, M.L.; le Breton, A.
Journal of Applied Mathematics and Stochastic Analysis (2001)
- Volume: 14, Issue: 3, page 215-226
- ISSN: 2090-3332
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topKleptsyna, M.L., and le Breton, A.. "Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.." Journal of Applied Mathematics and Stochastic Analysis 14.3 (2001): 215-226. <http://eudml.org/doc/49267>.
@article{Kleptsyna2001,
author = {Kleptsyna, M.L., le Breton, A.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {Gaussian process; continuous martingale; optimal filtering; filtering error; Riccati-Volterra equation; Cameron-Martin formula},
language = {eng},
number = {3},
pages = {215-226},
publisher = {Hindawi Publishing Corporation, New York},
title = {Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.},
url = {http://eudml.org/doc/49267},
volume = {14},
year = {2001},
}
TY - JOUR
AU - Kleptsyna, M.L.
AU - le Breton, A.
TI - Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2001
PB - Hindawi Publishing Corporation, New York
VL - 14
IS - 3
SP - 215
EP - 226
LA - eng
KW - Gaussian process; continuous martingale; optimal filtering; filtering error; Riccati-Volterra equation; Cameron-Martin formula
UR - http://eudml.org/doc/49267
ER -
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