Gaussian Volterra processes with power-type kernels. Part I
The stochastic process of the form \[ {X_{t}}={\int _{0}^{t}}{s^{\alpha }}\left({\int _{s}^{t}}{u^{\beta }}{(u-s)^{\gamma }}\hspace{0.1667em}du\right)\hspace{0.1667em}d{W_{s}}\] is considered, where W is a standard Wiener process, $\alpha >-\frac{1}{2}$, $\gamma >-1$, and $\alpha +\beta +...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
VTeX
2022-04-01
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| Series: | Modern Stochastics: Theory and Applications |
| Subjects: | |
| Online Access: | https://www.vmsta.org/doi/10.15559/22-VMSTA205 |