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Stochastic Analysis of Gaussian Processes via Fredholm Representation

Tommi Sottinen & Lauri Viitasaari

International Journal of Stochastic Analysis2016https://doi.org/10.1155/2016/8694365article
ABDC B
Weight
0.53

Abstract

We show that every separable Gaussian process with integrable variance function admits a Fredholm representation with respect to a Brownian motion. We extend the Fredholm representation to a transfer principle and develop stochastic analysis by using it. We show the convenience of the Fredholm representation by giving applications to equivalence in law, bridges, series expansions, stochastic differential equations, and maximum likelihood estimations.

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https://doi.org/https://doi.org/10.1155/2016/8694365

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@article{tommi2016,
  title        = {{Stochastic Analysis of Gaussian Processes via Fredholm Representation}},
  author       = {Tommi Sottinen & Lauri Viitasaari},
  journal      = {International Journal of Stochastic Analysis},
  year         = {2016},
  doi          = {https://doi.org/https://doi.org/10.1155/2016/8694365},
}

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Evidence weight

0.53

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.54 × 0.4 = 0.22
M · momentum0.62 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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