Prediction law of mixed Gaussian Volterra processes

DOI10.1016/J.SPL.2019.108594zbMATH Open1460.60022arXiv1904.09799OpenAlexW2969246953WikidataQ127334888 ScholiaQ127334888MaRDI QIDQ2288751FDOQ2288751

Lauri Viitasaari, Tommi Sottinen

Publication date: 20 January 2020

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

Abstract: We study the regular conditional law of mixed Gaussian Volterra processes under the influence of model disturbances. More precisely, we study prediction of Gaussian Volterra processes driven by a Brownian motion in a case where the Brownian motion is not observable, but only a noisy version is observed. As an application, we discuss how our result can be applied to variance reduction in the presence of measurement errors.

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

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zbMATH Keywords

predictionGaussian processesvariance reductionregular conditional law

Mathematics Subject Classification ID

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

Cites Work

• Gaussian Hilbert Spaces
• Title not available (Why is that?)
• 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

Cited In (2)

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

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