Information loss on Gaussian Volterra process

DOI10.1214/17-ECP79zbMath1386.60142MaRDI QIDQ2411783

Arturo Valdivia

Publication date: 25 October 2017

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ecp/1508896983

zbMATH Keywords

long range dependenceenlargement of filtrationsVolterra processsuperposition of Ornstein-Uhlenbeck processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic integral equations (60H20) Actuarial science and mathematical finance (91G99)

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