Fractional Ornstein-Uhlenbeck processes.
Cheridito, Patrick, Kawaguchi, Hideyuki, Maejima, Makoto (2003)
Electronic Journal of Probability [electronic only]
Similarity:
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
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]
Similarity:
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
Similarity:
Transformations of index set for Skorokhod integral with respect to Gaussian processes.
Gawarecki, Leszek (1999)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
On the exponentials of fractional Ornstein-Uhlenbeck processes.
Matsui, Muneya, Shieh, Narn-Rueih (2009)
Electronic Journal of Probability [electronic only]
Similarity:
Enhanced Gaussian processes and applications
Laure Coutin, Nicolas Victoir (2009)
ESAIM: Probability and Statistics
Similarity:
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]
Similarity:
A family of non-Gaussian martingales with Gaussian marginals.
Hamza, Kais, Klebaner, Fima C. (2007)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Further exponential generalization of Pitman's theorem.
Baudoin, Fabrice (2002)
Electronic Communications in Probability [electronic only]
Similarity:
Canonical decompositions of certain generalized Brownian bridges.
Alili, Larbi (2002)
Electronic Communications in Probability [electronic only]
Similarity:
Linear filtering of systems with memory and application to finance.
Inoue, A., Nakano, Y., Anh, V. (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity: