Non-Linear prediction problems for Ornstein-Uhlenbeck process

DOI10.1017/S002776300002050XzbMath0524.60042MaRDI QIDQ3036398

Sheu-San Lee

Publication date: 1983

Published in: Nagoya Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

stopping timelaw of the iterated logarithmOrnstein-Uhlenbeck processnon-linear predictor

Mathematics Subject Classification ID

Diffusion processes (60J60) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (1)

Non-linear predictors of transformed stationary processes

Cites Work

• Prediction theory for Markoff processes
• The square of a Gaussian Markov process and nonlinear prediction

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