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

DOI10.1155/S104895330100017XMaRDI QIDQ5952364zbMATH OpenFDO

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

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)

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(13)

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• Parameter-dependent filtering of Gaussian processes in Hilbert spaces
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• Statistical analysis of the 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
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