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Issue ESAIM: PS
Volume 9, 2005
Page(s) 185 - 205
DOI 10.1051/ps:2005008

References of  May 2005, Vol. 9, p. 185-205
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  4. L. Decreusefond and A.S. Üstünel, Stochastic analysis of the fractional Brownian motion. Potential Anal. 10 (1999) 177-214 [CrossRef] [MathSciNet].
  5. T.E. Duncan, Y. Hu and B. Pasik-Duncan, Stochastic calculus for fractional Brownian motion I. Theory. SIAM J. Control Optim. 38 (2000) 582-612 [CrossRef] [MathSciNet].
  6. G. Gripenberg and I. Norros, On the prediction of fractional Brownian motion. J. Appl. Probab. 33 (1996) 400-410 [MathSciNet].
  7. M.L. Kleptsyna and A. Le Breton, Statistical analysis of the fractional Ornstein-Uhlenbeck type process. Statist. Inference Stochastic Processes 5 (2002) 229-248.
  8. M.L. Kleptsyna and A. Le Breton, Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises. Statist. Inference Stochastic Processes 5 (2002) 249-271.
  9. M.L. Kleptsyna, A. Le Breton and M.-C. Roubaud, General approach to filtering with fractional Brownian noises - Application to linear systems. Stochastics Reports 71 (2000) 119-140.
  10. M.L. Kleptsyna, A. Le Breton and M. Viot, About the linear-quadratic regulator problem under a fractional Brownian perturbation. ESAIM: PS 7 (2003) 161-170.
  11. M.L. Kleptsyna, A. Le Breton and M. Viot, Asymptotically optimal filtering in linear systems with fractional Brownian noises. Statist. Oper. Res. Trans. (2004) 28 177-190.
  12. A. Le Breton, Adaptive control in the scalar linear-quadratic model in continious time. Statist. Probab. Lett. 13 (1992) 169-177 [CrossRef] [MathSciNet].
  13. R.S. Liptser and A.N. Shiryaev, Statist. Random Processes. Springer-Verlag, New York (1978).
  14. R.S. Liptser and A.N. Shiryaev, Theory of Martingales. Kluwer Academic Publ., Dordrecht (1989).
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  16. G.M. Molchan, Gaussian processes with spectra which are asymptotically equivalent to a power of $\lambda$. Probab. Theory Appl. 14 (1969) 530-532.
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  19. C.J. Nuzman and H.V. Poor, Linear estimation of self-similar processes via Lamperti's transformation. J. Appl. Prob. 37 (2000) 429-452.



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