Semimartingales gaussiennes — application au probleme de l'innovation
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Publication:3038314
DOI10.1007/BF00532963zbMath0525.60057MaRDI QIDQ3038314
Publication date: 1983
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Gaussian processes (60G15) Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35)
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Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading ⋮ Lévy driven moving averages and semimartingales ⋮ On infinitely divisible semimartingales ⋮ Wiener integrals, Malliavin calculus and covariance measure structure ⋮ Path and semimartingale properties of chaos processes ⋮ Stochastic calculus with respect to Gaussian processes ⋮ Representation of Gaussian semimartingales with applications to the covariance function ⋮ Spectral representation of Gaussian semimartingales ⋮ Gaussian moving averages, semimartingales and option pricing.
Cites Work
- Calcul stochastique et problèmes de martingales
- Representation of Gaussian processes equivalent to Wiener process
- Gaussian quasimartingales
- Quasimartingales, martingales locales, semimartingales et filtration naturelle
- On the Oscillation Functions of Gaussian Processes.
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