scientific article

Publication date: 3 October 1993

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Gaussian processes Green's functions stationary Gaussian process Karhunen representation Girsanov's theorem Itô's formula prediction theory historical notes construction of the canonical representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Continuity and singularity of induced measures (60G30) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items (43)

Canonical decomposition of linear transformations of two independent Brownian motions motivated by models of insider trading ⋮ Some large deviations principles for time-changed Gaussian processes ⋮ Equivalent martingale measures for Lévy-driven moving averages and related processes ⋮ On infinitely divisible semimartingales ⋮ Mixed Gaussian processes: a filtering approach ⋮ What if we knew what the future brings? Optimal investment for a frontrunner with price impact ⋮ Stochastic Processes Induced by Singular Operators ⋮ Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions ⋮ On the equivalence of multiparameter Gaussian processes ⋮ When is a linear combination of independent fBm's equivalent to a single fBm? ⋮ On the equivalence of probability spaces ⋮ A Gaussian version of Littlewood’s theorem for random power series ⋮ Invariant Gaussian fields on homogeneous spaces: explicit constructions and mean nodal volume ⋮ Multivariate Gaussian processes: definitions, examples and applications ⋮ On the Sum of Gaussian Martingale and an Independent Fractional Brownian Motion ⋮ Long-range dependent completely correlated mixed fractional Brownian motion ⋮ Volatility Options in Rough Volatility Models ⋮ Optimal investment with a noisy signal of future stock prices ⋮ Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions ⋮ Approximation of stationary solutions of Gaussian driven stochastic differential equations ⋮ Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process ⋮ A Statistical Framework to Infer Delay and Direction of Information Flow from Measurements of Complex Systems ⋮ Stochastic analysis of Gaussian processes via Fredholm representation ⋮ Equivalence of Volterra processes: Degenerate case ⋮ Free Ornstein--Uhlenbeck processes ⋮ Stochastic calculus with respect to Gaussian processes ⋮ Pathwise asymptotics for Volterra type stochastic volatility models ⋮ On universal algorithms for classifying and predicting stationary processes ⋮ Nonparametric estimation of the kernel function of symmetric stable moving average random functions ⋮ Generalized Gaussian bridges ⋮ Internal wave attractors over random, small-amplitude topography ⋮ Further results on some singular linear stochastic differential equations ⋮ Representation Formulae for the Fractional Brownian Motion ⋮ Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion ⋮ On relation between one multiple and a corresponding one-dimensional integral with applications ⋮ Asymptotic arbitrage in fractional mixed markets ⋮ Large deviations for conditionally Gaussian processes: estimates of level crossing probability ⋮ Boson Fock representations of stochastic processes ⋮ Equivalence of Volterra processes. ⋮ Representation of self-similar Gaussian processes ⋮ Random irreversible phenomena: Entropy in subordination ⋮ High frequency spectra and analyticity properties of time series in classical fluids ⋮ Multiple Markov Gaussian processes

This page was built for publication: