Bilinear stochastic systems with fractional Brownian motion input

DOI10.1214/aoap/1029962597zbMath0948.60050OpenAlexW2084442105MaRDI QIDQ1296586

Gyorgy H. Terdik, Endre Iglói

Publication date: 19 November 2000

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1029962597

zbMATH Keywords

fractional Brownian motionbilinear systemsstationaritylong-range dependence

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Stochastic systems in control theory (general) (93E03) Stochastic integrals (60H05)

Related Items (9)

Statistical inference using higher-order information ⋮ Evolutionary transfer functions solution for continuous–time bilinear stochastic processes with time-varying coefficients. ⋮ Moment method estimation of first-order continuous-time bilinear processes ⋮ On inverse-gamma distribution delayed by Poisson process ⋮ On the local times of fractional Ornstein-Uhlenbeck process ⋮ Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications ⋮ Whitening filter and innovational representation of fractional Brownian motion ⋮ Fractional Stokes–Boussinesq–Langevin equation and Mittag-Leffler correlation decay ⋮ Statistical inference for reciprocal gamma diffusion process

Uses Software

• longmemo

Cites Work

• Multiple Wiener-Ito integrals. With applications to limit theorems
• Gaussian and their subordinates self-similar random generalized fields
• Convergence of integrated processes of arbitrary Hermite rank
• Fractional Brownian Motions, Fractional Noises and Applications
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