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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Displaying similar documents to “Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals.”
Linear filtering of systems with memory and application to finance.
Nonlinear filtering with signal dependent observation noise.
Crisan, Dan, Kouritzin, Michael A., Xiong, Jie (2009)
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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Two-parameter gaussian Markov processes and their recursive linear filtering
Hayri Korezlioglu (1979)
Annales scientifiques de l'Université de Clermont. Mathématiques
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Control of a Gaussian process by rarefying its innovation process.
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Publications de l'Institut Mathématique. Nouvelle Série
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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.
A connection between Gaussian processes and Markov processes.
Eisenbaum, Nathalie (2005)
Electronic Journal of Probability [electronic only]
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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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Linear transformations of Wiener process that born Wiener process, Brownian bridge or Ornstein-Uhlenbeck process
Petr Lachout (2001)
Kybernetika
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The paper presents a discussion on linear transformations of a Wiener process. The considered processes are collections of stochastic integrals of non-random functions w.r.t. Wiener process. We are interested in conditions under which the transformed process is a Wiener process, a Brownian bridge or an Ornstein –Uhlenbeck process.
On some sample path properties of Skorohod integral processes
Martin T. Barlow, Peter Imkeller (1992)
Séminaire de probabilités de Strasbourg
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