An optimal Gauss-Markov approximation for a process with stochastic drift and applications
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Publication:2229551
DOI10.1016/j.spa.2020.05.018zbMath1454.60074arXiv1902.09488OpenAlexW3032921559MaRDI QIDQ2229551
Giuseppe D'Onofrio, Enrica Pirozzi, Lubomir Kostal, Giacomo Ascione
Publication date: 18 February 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.09488
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)
Related Items (3)
First passage times for some classes of fractional time-changed diffusions ⋮ Deterministic control of SDEs with stochastic drift and multiplicative noise: a variational approach ⋮ Input-output consistency in integrate and fire interconnected neurons
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Cites Work
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