Prediction law of mixed Gaussian Volterra processes

DOI10.1016/J.SPL.2019.108594MaRDI QIDQ2288751zbMATH OpenOpenAlexWikidataFDO

Authors 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)

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.

Recommendations

• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• On the prediction of \(p\)-stationary processes
• Prediction law of fractional Brownian motion
• Optimal prediction of compound mixed Poisson processes
• scientific article; zbMATH DE number 2036021
• Prediction theory for autoregressivemoving average processes
• Stationary Processes and Prediction Theory. (AM-44)
• On prediction of nonsynchronized multivariate processes
• On the Prediction of a Class of Wide-Sense Stationary Random Processes

Cites work

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

Cited in

(3)

• Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion
• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process
• Long-range dependent completely correlated mixed fractional Brownian motion

This page was built for publication: Prediction law of mixed Gaussian Volterra processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2288751)