Evolutionary transfer functions solution for continuous–time bilinear stochastic processes with time-varying coefficients.

DOI10.1080/03610926.2020.1726390OpenAlexW3008622719MaRDI QIDQ5079129

Abdelouahab Bibi, Fateh Merahi

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1726390

zbMATH Keywords

Wiener-Itô representationcontinuous-time bilinear processesTaylor propertyevolutionary transfer functions

Mathematics Subject Classification ID

Statistics (62-XX) Convergence and divergence of series and sequences (40A05) Approximation to limiting values (summation of series, etc.) (40A25) Singular nonlinear integral equations (45G05)

Related Items (1)

On asymptotic behavior of solutions of linear inhomogeneous stochastic differential equations with correlated inputs

Cites Work

• The theory of differential equations. Classical and qualitative
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Gaussian and their subordinates self-similar random generalized fields
• Bilinear stochastic systems with fractional Brownian motion input
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• The Taylor property in non-negative bilinear models
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