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ArticleParameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems

Marina L'vovna Kleptsyna2000

Article2000

Parameter Estimation and Optimal Filtering for Fractional Type Stochastic Systems

Marina L'vovna Kleptsyna · Alain Breton · M.C. Roubaud

69 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Target Tracking and Data Fusion in Sensor Networks Fractional Differential Equations Solutions

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References

1989Theory of Martingales 1999Stochastic Analysis of the Fractional Brownian Motion 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions 1996On the prediction of fractional Brownian motion 1998Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion

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2003Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion 2013Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process 2003Approximating some Volterra type stochastic integrals with applications to parameter estimation 2014Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process 2013Estimation of change point for switching fractional diffusion processes

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2003OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTIONarticle · 4 shared references 2003Stochastic integration with respect to fractional brownian motionarticle · 3 shared references 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYONDarticle · 3 shared references 1998Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motionarticle · 3 shared references 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motionchapter · 3 shared references 2009Asymptotic properties of MLE for partially observed fractional diffusion systemarticle · 3 shared references

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Year2000

Typearticle

Published2000-01-01

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations69

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1009923431187

openalex_workW1528084050

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