Volume 7, March 2003
|Page(s)||161 - 170|
|Published online||15 May 2003|
- M.H.A. Davis, Linear Estimation and Stochastic Control. Chapman and Hall (1977).
- L. Decreusefond and A.S. Üstünel, Stochastic analysis of the fractional Brownian motion. Potential Anal. 10 (1999) 177-214. [CrossRef] [MathSciNet]
- 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]
- G. Gripenberg and I. Norros, On the prediction of fractional Brownian motion. J. Appl. Probab. 33 (1997) 400-410. [CrossRef] [MathSciNet]
- Y. Hu, B. Øksendal and A. Sulem, A stochastic maximum principle for processes driven by fractional Brownian motion, Preprint 24. Pure Math. Dep. Oslo University (2000).
- M.L. Kleptsyna and A. Le Breton, Statistical analysis of the fractional Ornstein-Uhlenbeck type process. Statist. Inference Stochastic Process. (to appear).
- M.L. Kleptsyna and A. Le Breton, Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises. Statist. Inference Stochastic Process. (to appear).
- M.L. Kleptsyna, A. Le Breton and M.-C. Roubaud, General approach to filtering with fractional Brownian noises - Application to linear systems. Stochastics and Stochastics Rep. 71 (2000) 119-140. [MathSciNet]
- M.L. Kleptsyna, A. Le Breton and M. Viot, Solution of some linear-quadratic regulator problem under a fractional Brownian perturbation and complete observation, in Prob. Theory and Math. Stat., Proc. of the 8th Vilnius Conference, edited by B. Grigelionis et al., VSP/TEV (to appear).
- R.S. Liptser and A.N. Shiryaev, Statistics of Random Processes. Springer-Verlag (1978).
- I. Norros, E. Valkeila and J. Virtamo, An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. Bernoulli 5 (1999) 571-587. [CrossRef] [MathSciNet]
- C.J. Nuzman and H.V. Poor, Linear estimation of self-similar processes via Lamperti's transformation. J. Appl. Probab. 37 (2000) 429-452. [CrossRef] [MathSciNet]
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