Gaussian Volterra processes with power-type kernels. II

DOI10.15559/22-VMSTA211zbMATH Open1502.60046MaRDI QIDQ2103307FDOQ2103307

S. V. Shklyar, Yuliya S. Mishura

Publication date: 13 December 2022

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Recommendations

• Gaussian Volterra processes with power-type kernels. I
• Volterra bridges and applications
• Equivalence of Volterra processes.
• Stochastic integration with respect to Volterra processes
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.

zbMATH Keywords

fractional Brownian motionGaussian Volterra processessample path differentiabilityinversion of the Volterra representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cites Work

• Stochastic calculus for fractional Brownian motion and related processes.
• Title not available (Why is that?)
• Stochastic Calculus for Fractional Brownian Motion and Applications
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Stochastic integration with respect to Volterra processes
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Stochastic analysis of Gaussian processes via Fredholm representation
• Transformation formulas for fractional Brownian motion
• Stochastic and multiple Wiener integrals for Gaussian processes
• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• Stochastic calculus with respect to fractional Brownian motion
• Theory and Statistical Applications of Stochastic Processes
• Gaussian Volterra processes with power-type kernels. I

Cited In (5)

• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• On the Gaussian Volterra processes with power-type kernels
• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.
• Equivalence of Volterra processes.

This page was built for publication: Gaussian Volterra processes with power-type kernels. II

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2103307)