- Full text PDF available (8)
We consider the fractional analogue of the Ornstein-Uhlenbeck process i.e. the solution of a one-dimensional homogeneous linear stochastic differential equation driven by a fractional Brownian motion in place of the usual Brownian motion. The statistical problem of estimation of the drift and variance parameters is investigated on the basis of a… (More)
We investigate the optimal filtering problem in the simplest Gaussian linear system driven by fractional Brownian motions. At first we extend to this setting the Kalman-Bucy filtering equations which are well-known in the specific case of usual Brownian motions. Closed form Volterra type integral equations are derived both for the mean of the optimal filter… (More)
The optimal filtering problem for multidimensional continuous possibly non-Markovian, Gaussian processes, observed through a linear channel driven by a Brownian motion, is revisited. Explicit Volterra type filtering equations involving the covariance function of the filtered process are derived both for the conditional mean and for the covariance of the… (More)
In this paper we solve the basic fractional analogue of the classical infinite time horizon linear-quadratic Gaussian regulator problem. For a completely observable controlled linear system driven by a fractional Brownian motion, we describe explicitely the optimal control policy which minimizes an asymptotic quadratic performance criterion.
Various methods to derive new formulas for the Laplace transforms of some quadratic forms of Gaussian sequences are discussed. In the general setting, an approach based on the resolution of an appropriate auxiliary filtering problem is developed; it leads to a formula in terms of the solutions of Voterra type recursions describing characteristics of the… (More)
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for… (More)
The paper deals with homogenization of divergence form second order parabolic operators whose coefficients are periodic in spatial variables and random stationary in time. Under proper mixing assumptions , we study the limit behaviour of the normalized difference between solutions of the original and the homogenized problems. The asymptotic behaviour of… (More)