Prediction Law of Mixed Gaussian Volterra Processes

Tommi Sottinen and Lauri Viitasaari

Papers from arXiv.org

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.

Date: 2019-04
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1904.09799

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