44 citations · 81 across the 22 of their papers we have counts for
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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…
Homogenization of random parabolic operators. Diffusion approximation
Marina Kleptsyna, Andrey Piatnitski, Alexandre Popier
The paper deals with homogenization of divergence form second order parabolic operators whose coefficients are periodic in spatial variables and random stationary in time. Under pr…
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Alexandre Brouste, Chunhao Cai, Marina Kleptsyna
In this paper we are interested in the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order with regular stationary Gaussian noise.…