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~person:"Kleptsyna, M.L."
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fractional Brownian motion
3
optimal filtering
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Girsanov formula
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bias
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Kleptsyna, M.L.
Asai, Manabu
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McAleer, Michael
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Mišura, Julija S.
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Phillips, Peter C.B.
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Bassler, Kevin E.
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Gunaratne, Gemunu H.
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McCauley, Joseph L.
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Rostek, Stefan
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Robinson, Peter M.
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Statistical Inference for Stochastic Processes
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1
Extension of the Kalman–Bucy Filter to Elementary Linear Systems with Fractional Brownian Noises
Kleptsyna, M.L.
;
Breton, A. Le
- In:
Statistical Inference for Stochastic Processes
5
(
2002
)
3
,
pp. 249-271
Persistent link: https://www.econbiz.de/10005169107
Saved in:
2
Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process
Kleptsyna, M.L.
;
Breton, A. Le
- In:
Statistical Inference for Stochastic Processes
5
(
2002
)
3
,
pp. 229-248
Persistent link: https://www.econbiz.de/10005616015
Saved in:
3
Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems
Kleptsyna, M.L.
;
Breton, A. Le
;
Roubaud, M.-C.
- In:
Statistical Inference for Stochastic Processes
3
(
2000
)
1
,
pp. 173-182
Persistent link: https://www.econbiz.de/10005616017
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