Prediction law of mixed Gaussian Volterra processes

DOI10.1016/j.spl.2019.108594zbMath1460.60022arXiv1904.09799OpenAlexW2969246953WikidataQ127334888 ScholiaQ127334888MaRDI QIDQ2288751

Lauri Viitasaari, Tommi Sottinen

Publication date: 20 January 2020

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1904.09799

zbMATH Keywords

predictionGaussian processesvariance reductionregular conditional law

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (2)

Long-range dependent completely correlated mixed fractional Brownian motion ⋮ Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion

Cites Work

• Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions
• Stochastic analysis of Gaussian processes via Fredholm representation
• Generalized Gaussian bridges
• Prediction law of fractional Brownian motion
• Hedging in fractional Black-Scholes model with transaction costs
• Gaussian Hilbert Spaces
• Unnamed Item

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