The square of a Gaussian Markov process and nonlinear prediction

DOI10.1016/0047-259X(75)90028-7zbMath0331.60024MaRDI QIDQ1227403

Takeyuki Hida, Gopinath Kallianpur

Publication date: 1975

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (4)

Nonlinear prediction of the degree n of a Gaussian N-ple Markov process ⋮ Non-Linear prediction problems for Ornstein-Uhlenbeck process ⋮ Spherically invariant processes: Their nonlinear structure, discrimination, and estimation ⋮ Multiple Integral Expansions for Nonlinear Filtering

Cites Work

• Quadratic functionals of Brownian motion
• Multiple Wiener integral
• Canonical representations of Gaussian processes and their applications

This page was built for publication: The square of a Gaussian Markov process and nonlinear prediction