2 citations · 3 across the 3 of their papers we have counts for
3 papers
math.PR2007
A note on ergodic transformations of self-similar Volterra Gaussian processes
Celine Jost
We derive a class of ergodic transformations of self-similar Gaussian processes that are Volterra, i.e. of type X_t = int^t_0 z_X(t,s)dW_s, t>0, where z_X is a deterministic kernel…
math.PR2007★ 2 cited
Measure-preserving transformations of Volterra Gaussian processes and related bridges
Celine Jost
We consider Volterra Gaussian processes on [0,T], where T>0 is a fixed time horizon. These are processes of type X_t=\int^t_0 z_X(t,s)dW_s, t\in[0,T], where z_X is a square-integra…
math.PR2006★ 1 cited
On the connection between Molchan-Golosov and Mandelbrot-Van Ness representations of fractional Brownian motion
Celine Jost
We proof a connection between the generalized Molchan-Golosov integral transform and the generalized Mandelbrot-Van Ness integral transform of fractional Brownian motion (fBm). The…