scientific article; zbMATH DE number 2134056

MaRDI QIDQ3159196zbMATH OpenFDO

Authors M. Viot, Marina Kleptsyna, Alain Le Breton

Publication date 15 February 2005

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Signal detection and filtering (aspects of stochastic processes) (60G35)

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(4)

• Some properties of matrix-variate Laplace transforms and matrix-variate Whittaker functions
• A Cameron-Martin type formula for general Gaussian processes--a filtering approach
• Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals
• On maximum likelihood estimation of the drift matrix of a degenerated O-U process

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