Fractional Ornstein-Uhlenbeck processes.
Cheridito, Patrick, Kawaguchi, Hideyuki, Maejima, Makoto (2003)
Electronic Journal of Probability [electronic only]
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Displaying similar documents to “A note on ergodic transformations of self-similar Volterra Gaussian processes.”
Fractional Ornstein-Uhlenbeck processes.
Fractional Brownian motion and the Markov property.
Carmona, Philippe, Coutin, Laure (1998)
Electronic Communications in Probability [electronic only]
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Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.
Kleptsyna, M.L., le Breton, A. (2001)
Journal of Applied Mathematics and Stochastic Analysis
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Transformations of index set for Skorokhod integral with respect to Gaussian processes.
Gawarecki, Leszek (1999)
Journal of Applied Mathematics and Stochastic Analysis
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On the exponentials of fractional Ornstein-Uhlenbeck processes.
Matsui, Muneya, Shieh, Narn-Rueih (2009)
Electronic Journal of Probability [electronic only]
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Enhanced Gaussian processes and applications
Laure Coutin, Nicolas Victoir (2009)
ESAIM: Probability and Statistics
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We propose some construction of enhanced Gaussian processes using Karhunen-Loeve expansion. We obtain a characterization and some criterion of existence and uniqueness. Using rough-path theory, we derive some Wong-Zakai Theorem.
Time reversal for drifted fractional Brownian motion with Hurst index .
Darses, Sebastien, Saussereau, Bruno (2007)
Electronic Journal of Probability [electronic only]
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A family of non-Gaussian martingales with Gaussian marginals.
Hamza, Kais, Klebaner, Fima C. (2007)
Journal of Applied Mathematics and Stochastic Analysis
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Further exponential generalization of Pitman's theorem.
Baudoin, Fabrice (2002)
Electronic Communications in Probability [electronic only]
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Canonical decompositions of certain generalized Brownian bridges.
Alili, Larbi (2002)
Electronic Communications in Probability [electronic only]
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Linear filtering of systems with memory and application to finance.
Inoue, A., Nakano, Y., Anh, V. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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