Asymptotic analysis in problems with fractional processes

Abstract

Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, valuable insights can be gained through their asymptotic analysis with respect to relevant parameters. This paper is a brief survey of some recent progress in the study of such equations related to processes with fractional covariance structure.

to appear in "Statistics of Random Processes and Optimal Control" in Prof. A. N. Shiryaev Festschrift