Conditionally optimal interpolation of random processes defined by stochastic differential equations

zbMATH Open0963.60041MaRDI QIDQ1595693FDOQ1595693

Authors: I. N. Sinitsyn, M. Oh, V. I. Shin 

Publication date: 13 February 2001

Published in: Doklady Mathematics (Search for Journal in Brave)

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zbMATH Keywords

stochastic processesnonlinear stochastic differential equationsoptimal interpolation

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Optimal stochastic control (93E20)

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• A statistical interpolation method: Linear prediction in a stock price process
• Nonparametric interpolation of the Markov sequence
• Conditionally optimal fixed-point interpolation of processes in stochastic differential systems
• Solution of the singular backward interpolation problem for diffusion processes
• Optimal Interpolation for Linear Stochastic Systems
• Title not available (Why is that?)
• An optimal linear interpolator for a class of stationary processes

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