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Resultats globals: 3 registres trobats en 0.02 segons.
Articles, 3 registres trobats

Articles	3 registres trobats

$The law of a stochastic integral with two independent fractional Brownian motions$

14 p, 305.5 KB

The law of a stochastic integral with two independent fractional Brownian motions / Bardina i Simorra, Xavier (Universitat Autònoma de Barcelona. Departament de Matemàtiques) ; Tudor, Ciprian A. (Université de Panthéon-Sorbonne Paris 1. Centre d'Economie de La Sorbonne)
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obtain the expression of the characteristic function of the random variable f01Bsalpha;dBsH where Bα and B H are two independent fractional Brownian motions with Hurst parameters α ∈ (0, 1) and H > 1/2 respectively. [...]
2007
Boletin de la Sociedad Matematica Mexicana, Vol. 13, Núm. 1 (2007) , p. 231-242

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$An extension of sub-fractional Brownian motion$

12 p, 373.9 KB

An extension of sub-fractional Brownian motion / Sghir, Aissa
In this paper, firstly, we introduce and study a self-similar Gaussian process with parameters H ∈ (0; 1) and K ∈ (0; 1] that is an extension of the well known sub-fractional Brownian motion introduced by Bojdecki et al. [...]
2013 - DOI (Digital Object Identifier)

10.5565/PUBLMAT_57213_11
Publicacions matemàtiques, Vol. 57, Núm. 2 (2013) , p. 497-508

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$Asymptotically optimal filtering in linear systems with fractional Brownian noises$

14 p, 93.6 KB

Asymptotically optimal filtering in linear systems with fractional Brownian noises / Breton, Alain Le (Université J. Fourier) ; Kleptsyna, Marina L. (Université du Maine) ; Viot, Michel (Université J. Fourier)
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.
2004
SORT : statistics and operations research transactions, Vol. 28, Núm. 2 (July-December 2004) , p. 177-190

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