Optimal linear filtering of general multidimensional Gaussian processes and its application to Laplace transforms of quadratic functionals

DOI10.1155/S104895330100017XzbMATH Open0988.60023MaRDI QIDQ5952364FDOQ5952364

Authors: Marina Kleptsyna, Alain Le Breton 

Publication date: 30 June 2002

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/49267

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zbMATH Keywords

Gaussian processoptimal filteringCameron-Martin formulacontinuous martingalefiltering errorRiccati-Volterra equation

Mathematics Subject Classification ID

Gaussian processes (60G15) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Cited In (13)

• Parameter-dependent filtering of Gaussian processes in Hilbert spaces
• Adaptive finite‐dimensional optimal linear filtering of nD smooth Gaussian random fields
• Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
• Large deviations for drift parameter estimator of mixed fractional Ornstein-Uhlenbeck process
• Asymptotic stability of beneš filters
• A Cameron-Martin type formula for general Gaussian processes--a filtering approach
• A note on inference for the mixed fractional Ornstein-Uhlenbeck process with drift
• On the Linear-Exponential Filtering Problem for General Gaussian Processes
• Linear filtering of a two-dimensional process with stationary components having quasirational joint spectral density
• Controlled drift estimation in fractional diffusion linear systems
• Filtering of Gaussian processes in Hilbert spaces
• Title not available (Why is that?)
• Large-time and small-ball asymptotics for quadratic functionals of Gaussian diffusions

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