Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process

DOI10.15559/24-VMSTA252MaRDI QIDQ6624009zbMATH OpenFDO

Authors Iryna Bodnarchuk, Yuliya S. Mishura

Publication date 24 October 2024

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

covariance matrixGaussian-Volterra processprojection coefficients

Mathematics Subject Classification ID

Gaussian processes (60G15) Prediction theory (aspects of stochastic processes) (60G25)

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Cites work

• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
• Functional limit theorems for Volterra processes and applications to homogenization
• Gaussian Volterra processes as models of electricity markets
• Gaussian Volterra processes with power-type kernels. I
• Gaussian Volterra processes with power-type kernels. II
• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• Gaussian processes with Volterra kernels
• Infinite dimensional pathwise Volterra processes driven by Gaussian noise -- probabilistic properties and applications --
• Information loss on Gaussian Volterra process
• Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems
• Markovian approximations of stochastic Volterra equations with the fractional kernel
• On the Gaussian Volterra processes with power-type kernels
• Skorohod and rough integration for stochastic differential equations driven by Volterra processes
• Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process
• Stochastic evolution equations with Volterra noise

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