Stochastic analysis of Gaussian processes via Fredholm representation

Tommi Sottinen, Lauri Viitasaari*

*Corresponding author for this work

Research output: Contribution to journalArticleScientificpeer-review

11 Citations (Scopus)
128 Downloads (Pure)

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.

Original languageEnglish
Article number8694365
Pages (from-to)1-15
Number of pages15
JournalINTERNATIONAL JOURNAL OF STOCHASTIC ANALYSIS
Volume2016
DOIs
Publication statusPublished - 2016
MoE publication typeA1 Journal article-refereed

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