Semimartingales gaussiennes — application au probleme de l'innovation

DOI10.1007/BF00532963zbMath0525.60057MaRDI QIDQ3038314

Christophe Stricker

Publication date: 1983

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

innovation problemGaussian semimartingale

Mathematics Subject Classification ID

Gaussian processes (60G15) Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (9)

Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading ⋮ Lévy driven moving averages and semimartingales ⋮ On infinitely divisible semimartingales ⋮ Wiener integrals, Malliavin calculus and covariance measure structure ⋮ Path and semimartingale properties of chaos processes ⋮ Stochastic calculus with respect to Gaussian processes ⋮ Representation of Gaussian semimartingales with applications to the covariance function ⋮ Spectral representation of Gaussian semimartingales ⋮ Gaussian moving averages, semimartingales and option pricing.

Cites Work

• Calcul stochastique et problèmes de martingales
• Representation of Gaussian processes equivalent to Wiener process
• Gaussian quasimartingales
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• On the Oscillation Functions of Gaussian Processes.
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