Prediction law of mixed Gaussian Volterra processes

Tommi Sottinen and Lauri Viitasaari

Statistics & Probability Letters, 2020, vol. 156, issue C

Abstract: We study the regular conditional law of mixed Gaussian Volterra processes under the influence of model disturbances. More precisely, we study prediction of Gaussian Volterra processes driven by a Brownian motion in a case where the Brownian motion is not observable, but only a noisy version is observed. As an application, we discuss how our result can be applied to variance reduction in the presence of measurement errors.

Keywords: Gaussian processes; Prediction; Regular conditional law; Variance reduction (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2019.108594

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