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

DOI10.15559/24-VMSTA252MaRDI QIDQ6624009FDOQ6624009

Authors: Iryna Bodnarchuk, Yuliya S. Mishura 

Publication date: 24 October 2024

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

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zbMATH Keywords

covariance matrixGaussian-Volterra processprojection coefficients

Mathematics Subject Classification ID

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

Cites Work

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

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