Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals

DOI10.1155/S104895330100017XzbMath0988.60023MaRDI QIDQ5952364

Marina Kleptsyna, Alain Le Breton

Publication date: 30 June 2002

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49267

zbMATH Keywords

Gaussian processoptimal filteringCameron-Martin formulacontinuous martingalefiltering errorRiccati-Volterra equation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Related Items (7)

A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift ⋮ Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process ⋮ Parameter-dependent filtering of Gaussian processes in Hilbert spaces ⋮ Filtering of Gaussian processes in Hilbert spaces ⋮ Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process ⋮ Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions ⋮ CONTROLLED DRIFT ESTIMATION IN FRACTIONAL DIFFUSION LINEAR SYSTEMS

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