4 citations · 5 across the 2 of their papers we have counts for
2 papers
math.PR2013★ 4 cited
Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process
Marina Kleptsyna, Alain Le Breton, Bernard Ycart
The Laplace transform of partial sums of the square of a non-centered Gauss-Markov process, conditioning on its starting point, is explicitly computed. The parameters of multiplica…
math.PR2009★ 1 cited
Filtering problems with exponential criteria for general Gaussian signals
M. L. Kleptsyna, A. Le Breton, M. Viot
The explicit solution of the discrete time filtering problems with exponential criteria for a general Gaussian signal is obtained through an approach based on a conditional Cameron…