Prediction law of mixed Gaussian Volterra processes
From MaRDI portal
Publication:2288751
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
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
This page was built for publication: Prediction law of mixed Gaussian Volterra processes