Free Access
Issue
ESAIM: PS
Volume 7, March 2003
Page(s) 161 - 170
DOI https://doi.org/10.1051/ps:2003007
Published online 15 May 2003
  1. M.H.A. Davis, Linear Estimation and Stochastic Control. Chapman and Hall (1977). [Google Scholar]
  2. L. Decreusefond and A.S. Üstünel, Stochastic analysis of the fractional Brownian motion. Potential Anal. 10 (1999) 177-214. [CrossRef] [MathSciNet] [Google Scholar]
  3. 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. [Google Scholar]
  4. G. Gripenberg and I. Norros, On the prediction of fractional Brownian motion. J. Appl. Probab. 33 (1997) 400-410. [CrossRef] [MathSciNet] [Google Scholar]
  5. 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). [Google Scholar]
  6. M.L. Kleptsyna and A. Le Breton, Statistical analysis of the fractional Ornstein-Uhlenbeck type process. Statist. Inference Stochastic Process. (to appear). [Google Scholar]
  7. 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). [Google Scholar]
  8. 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] [Google Scholar]
  9. 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). [Google Scholar]
  10. R.S. Liptser and A.N. Shiryaev, Statistics of Random Processes. Springer-Verlag (1978). [Google Scholar]
  11. 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] [Google Scholar]
  12. 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] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.