Non-Linear prediction problems for Ornstein-Uhlenbeck process

DOI10.1017/S002776300002050XMaRDI QIDQ3036398zbMATH OpenFDO

Authors Sheu-San Lee

Publication date 1983

Published in Nagoya Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S002776300002050X

zbMATH Keywords

law of the iterated logarithmnon-linear predictorOrnstein-Uhlenbeck processstopping time

Mathematics Subject Classification ID

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

Cites work

• Prediction theory for Markoff processes
• The square of a Gaussian Markov process and nonlinear prediction

Cited in

(1)

• Non-linear predictors of transformed stationary processes

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