A Cameron-Martin type formula for general Gaussian processes--a filtering approach

DOI10.1080/10451120290019203MaRDI QIDQ4542934zbMATH OpenOpenAlexFDO

Authors Marina Kleptsyna, Alain Le Breton

Publication date 3 November 2002

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10451120290019203

zbMATH Keywords

Gaussian processmartingaleoptimal filteringfiltering errorRiccati-Volterra equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Martingales with continuous parameter (60G44)

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Cites work

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• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• An extension of the Cameron–Martin result
• Evaluation of various Wiener integrals by use of certain Sturm-Liouville differential equations
• On some examples of quadratic functionals of Brownian motion
• On the parameter estimation of diffusional type processes with constant coefficients (elementary Gaussian processes)
• Quadratic functionals of Brownian motion
• Quadratic functionals of brownian motion, optimal control,and the “colditz” example

Cited in

(17)

• Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions
• Parameter-dependent filtering of Gaussian processes in Hilbert spaces
• Exact small ball asymptotics in weighted \(L_2\)-norm for some Gaussian processes
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• L p estimates on a time-inhomogeneous diffusion process
• Small ball probabilities for Gaussian random fields and tensor products of compact operators
• Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises
• Distribution of the least-squares estimators of a single Brownian trajectory diffusion coefficient
• Gaussian processes centered at their online average, and applications
• On the Linear-Exponential Filtering Problem for General Gaussian Processes
• On a family of ordinary differential equations integrable in elementary functions
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• An algebraic approach to the Cameron-Martin-Maruyama-Girsanov formula
• Some integral equations related to random Gaussian processes
• Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals
• scientific article; zbMATH DE number 2134056 (Why is no real title available?)
• Asymptotic properties of MLE for partially observed fractional diffusion system

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