A Cameron-Martin type formula for general Gaussian processes--a filtering approach
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Publication:4542934
DOI10.1080/10451120290019203zbMATH Open1002.60031OpenAlexW2035348672MaRDI QIDQ4542934FDOQ4542934
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
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- An extension of the Cameron–Martin result
- Evaluation of various Wiener integrals by use of certain Sturm-Liouville differential equations
- 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
- On some examples of quadratic functionals of Brownian motion
Cited In (17)
- 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
- Small ball probabilities for Gaussian random fields and tensor products of compact operators
- L p estimates on a time-inhomogeneous diffusion process
- 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
- \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
- On a family of ordinary differential equations integrable in elementary functions
- An algebraic approach to the Cameron-Martin-Maruyama-Girsanov formula
- Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals
- Some integral equations related to random Gaussian processes
- Title not available (Why is that?)
- Asymptotic properties of MLE for partially observed fractional diffusion system
- Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions
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