Bilinear stochastic systems with fractional Brownian motion input

DOI10.1214/aoap/1029962597zbMath0948.60050MaRDI QIDQ1296586

Gyorgy H. Terdik, Endre Iglói

Publication date: 19 November 2000

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

Full work available at URL: https://doi.org/10.1214/aoap/1029962597

zbMATH Keywords

fractional Brownian motion; bilinear systems; stationarity; long-range dependence

Mathematics Subject Classification ID

62M15: Inference from stochastic processes and spectral analysis

93E03: Stochastic systems in control theory (general)

60H05: Stochastic integrals

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Uses Software

• longmemo

Cites Work

• Multiple Wiener-Ito integrals. With applications to limit theorems
• Gaussian and their subordinates self-similar random generalized fields
• Convergence of integrated processes of arbitrary Hermite rank
• Fractional Brownian Motions, Fractional Noises and Applications
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