The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
The existence and uniqueness problems for the pathwise Duncan-Mortensen-Zakai equation of nonlinear filtering are studied following the Robust Equation approach. It is shown here that several examples that include the Kalman-Bucy filtering case can be treated by means of a theorem that solves the Cauchy problem for the Robust Equation.
In this article we extend the laws of iterated logarithm established by M. Csorgo and P. Revesz for the standard Wiener process to 1p (p>1) and R∞ valued Wiener processes {Wt; t≥0}. In particular one of the obtained results states that $$\mathop {\lim }\limits_{T \to \infty } \mathop {sup}\limits_{0 < t < T - a_t } \mathop {\sup }\limits_{0 < s < a_t } b_t \parallel W_{t + s} - W_t...
The problem of finding analytic conditions for subordination of harmonizable and periodically correlated sequences is studied. Sufficient conditions for subordination of harmonizable sequences (in the spirit of Kolmogorov’s work) and a simple counter-example showing that these conditions are not necessary are given. In the case of periodically correlated sequences, which is a subclass of harmonizable...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.