A comparison of linear versus non-linear prediction for polynomial functions of the Ornstein-Uhlenbeck process

DOI10.2307/3212611zbMath0271.60087OpenAlexW2323285777MaRDI QIDQ5179622

John Donelson III, Fred Maltz

Publication date: 1972

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

Full work available at URL: https://doi.org/10.2307/3212611

Mathematics Subject Classification ID

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

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