On integration by parts formula and characterization of fractional Ornstein–Uhlenbeck process-Reference-Cited by-同舟云学术

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On integration by parts formula and characterization of fractional Ornstein–Uhlenbeck process

Published:2015-12 Issue: Volume:107 Page:170-177
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Sun Xiaoxia,Guo Feng

Funder

Research Foundation of Dongbei University of Finance and Economics

Postdoctoral Science Foundation of Dongbei University of Finance and Economics

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference21 articles.

1. Differential calculus on path and loop spaces II: Irreducibility of dirichlet forms on loop spaces;Aida;Bull. Sci. Math.,1998

2. Large Deviations and the Malliavin Calculus;Bismut,1984

3. Stochastic analysis of the fractional Brownian motion;Decreusefond;Potential Anal.,1999

4. A Cameron–Martin type quasi-invariance theorem for Brownian motion on a compact Riemannian manifold;Driver;J. Funct. Anal.,1992

5. A Cameron–Martin type quasi-invariance theorem for pinned Brownian motion on a compact Riemannian manifold;Driver;Trans. Amer. Math. Soc.,1994

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1. Vector‐valued generalized Ornstein–Uhlenbeck processes: Properties and parameter estimation;Scandinavian Journal of Statistics;2021-08-08

2. Martingale Representation and Logarithmic-Sobolev Inequality for the Fractional Ornstein-Uhlenbeck Measure;Acta Mathematica Scientia;2021-04-19

3. Integration-by-parts characterizations of Gaussian processes;Collectanea Mathematica;2020-01-03

4. Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications;Methodology and Computing in Applied Probability;2019-11-07

5. Parameter estimation for the Langevin equation with stationary-increment Gaussian noise;Statistical Inference for Stochastic Processes;2017-01-24

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