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- Centre National de la Recherche ScientifiqueFR237 papers
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Showing 2015 · math.PRShow all
3 papers · 2 filters
math.PR2015
Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type
Said Hamadene, Xuzhe Zhao
In this paper, we study systems of nonlinear second-order variational inequalities with interconnected bilateral obstacles with non-local terms. They are of min-max and max-min typ…
math.PR2015★ 2 cited
Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process
Pavel Chigansky, Marina Kleptsyna
This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions.…
math.PR2015★ 7 cited
On robustness of discrete time optimal filters
Marina Kleptsyna, Alexander Veretennikov
A new result on stability of an optimal nonlinear filter with respect to small perturbations on every step is established.