Bilinear stochastic systems with fractional Brownian motion input

DOI10.1214/AOAP/1029962597MaRDI QIDQ1296586zbMATH OpenOpenAlexFDO

Authors E. Iglói, Gy. Terdik

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

stationaritylong-range dependencefractional Brownian motionbilinear systems

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Stochastic integrals (60H05) Stochastic systems in control theory (general) (93E03)

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Cites work

• scientific article; zbMATH DE number 3718234 (Why is no real title available?)
• scientific article; zbMATH DE number 4126408 (Why is no real title available?)
• scientific article; zbMATH DE number 218720 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Convergence of integrated processes of arbitrary Hermite rank
• Fractional Brownian Motions, Fractional Noises and Applications
• Gaussian and their subordinates self-similar random generalized fields
• Multiple Wiener-Ito integrals. With applications to limit theorems

Cited in

(11)

• Statistical inference using higher-order information
• Evolutionary transfer functions solution for continuous–time bilinear stochastic processes with time-varying coefficients.
• Fractional Stokes-Boussinesq-Langevin equation and Mittag-Leffler correlation decay
• Whitening filter and innovational representation of fractional Brownian motion
• On the local times of fractional Ornstein-Uhlenbeck process
• Statistical inference for reciprocal gamma diffusion process
• On inverse-gamma distribution delayed by Poisson process
• Some bilinear stochastic equations with a fractional Brownian motion
• scientific article; zbMATH DE number 1066382 (Why is no real title available?)
• Moment method estimation of first-order continuous-time bilinear processes
• Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications

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