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authIdHal_s : marina-kleptsyna
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An Elementary Approach to Filtering in Systems with Fractional Brownian Observation Noise

M.L. Kleptsyna , A. Le Breton , M. C. Roubaud
RR-3439, INRIA. 1998
Reports inria-00073251v1

Fractional Diffusion with Partial Observations

Alexandre Brouste , Marina Kleptsyna , Alexandre Popier
Communications in Statistics - Theory and Methods, 2011, 40 (19-20), pp.3479 - 3491. ⟨10.1080/03610926.2011.581173⟩
Journal articles hal-01634596v1

Exact spectral asymptotics of fractional processes

Marina Kleptsyna , P. Chigansky , D. Marushkevych
2018
Preprints, Working Papers, ... hal-01740661v1

On the eigenproblem for Gaussian bridges

Pavel Chigansky , Marina Kleptsyna , Dmytro Marushkevych
Bernoulli, 2020, 26 (3), ⟨10.3150/19-BEJ1157⟩
Journal articles hal-03658946v1

On the linear-exponential filtering problem for general Gaussian processes

Marina L. Kleptsyna , Alain Le Breton , Michel Viot
CDC 2009 - 48th IEEE Conference on Decision and Control, Dec 2009, Shanghai, China. pp.2646-2651, ⟨10.1109/CDC.2009.5400249⟩
Conference papers hal-00853917v1
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New formulas around Laplace transforms of quadratic forms for general Gaussian sequences

Marina Kleptsyna , Alain Le Breton , Michel Viot
[Research Report] RR-4357, INRIA. 2002
Reports inria-00072231v1
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Design for estimation of drift parameter in fractional diffusion system

Alexandre Brouste , Marina Kleptsyna , Alexandre Popier
2010
Preprints, Working Papers, ... hal-00486428v1

Statistical analysis of the mixed fractional Ornstein--Uhlenbeck process

Marina Kleptsyna , Pavel Chigansky
2018
Preprints, Working Papers, ... hal-01740657v1

Sharp asymptotics in a fractional Sturm-Liouville problem

Pavel Chigansky , Dmytro Marushkevych , Marina Kleptsyna
Fractional Calculus and Applied Analysis, 2021, 24 (3), pp.715-738. ⟨10.1515/fca-2021-0031⟩
Journal articles hal-03658943v1

Risk Sensitive and LEG filtering problems are not equivalent

Marina L. Kleptsyna , Alain Le Breton , Michel Viot
Systems and Control Letters, 2010, 59 (8), pp.484-490. ⟨10.1016/j.sysconle.2010.06.009⟩
Journal articles istex hal-00853130v1

On the linear-exponential filtering problem for general Gaussian processes

Marina L. Kleptsyna , Alain Le Breton , Michel Viot
SIAM Journal on Control and Optimization, 2008, 47 (6), pp.2886-2911. ⟨10.1137/070705908⟩
Journal articles hal-00853124v1

Homogenization of random parabolic operator with large potential

Fabien Campillo , Marina Kleptsyna , Andrey Piatnitski
Stochastic Processes and their Applications, 2001, 93 (1), pp.57-85. ⟨10.1016/S0304-4149(00)00095-8⟩
Journal articles hal-00652120v1
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Averaging of Non-Self Adjoint Parabolic Equations with Random Evolution (Dynamics)

Marina Kleptsyna , Andrey Piatnitski
[Research Report] RR-3951, INRIA. 2000, pp.32
Reports inria-00072698v1
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ASYMPTOTIC DECOMPOSITION OF SOLUTIONS TO RANDOM PARABOLIC OPERATORS WITH OSCILLATING COEFFICIENTS

Marina Kleptsyna , Andrey Piatnitski , Alexandre Popier
2020
Preprints, Working Papers, ... hal-02954085v1

Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation

Marina L. Kleptsyna , Alain Le Breton , Michel Viot
ESAIM: Probability and Statistics, 2008, 12, pp.94-126. ⟨10.1051/ps:2007046⟩
Journal articles hal-00853128v1
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Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes

Marina Kleptsyna , Alain Le Breton , Bernard Ycart
Modern Stochastics: Theory and Applications, 2015, 2 (3), pp.267-286. ⟨10.15559/15-VMSTA38CNF⟩
Journal articles hal-01116720v1
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Homogenization of random parabolic operators. Diffusion approximation.

Marina Kleptsyna , Andrey Piatnitski , Alexandre Popier
2013
Preprints, Working Papers, ... hal-00842809v3

Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise

Alexandre Brouste , C. Cai , M. Kleptsyna
Mathematical Methods of Statistics, 2014, 23 (2), pp.103 - 115. ⟨10.3103/S1066530714020021⟩
Journal articles hal-01634621v1

On the eigenproblem for Gaussian bridges

Marina Kleptsyna , P. Chigansky , D. Marushkevych
2018
Preprints, Working Papers, ... hal-01740665v1
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Exponential transform of quadratic functional and multiplicative ergodicity of a Gauss-Markov process

Marina Kleptsyna , Alain Le Breton , Bernard Ycart
Statistics and Probability Letters, 2014, 87, pp.70-75. ⟨10.1016/j.spl.2013.12.023⟩
Journal articles hal-00921152v2

Filtering with exponential criteria via linear observation channels

Marina L. Kleptsyna , Alain Le Breton , Michel Viot
Global and Stochastic Analysis, 2011, 1 (1), pp.57-77
Journal articles hal-00851599v1

On asymptotically distribution free tests with parametric hypothesis for ergodic diffusion processes

Marina Kleptsyna , Yu. A. Kutoyants
Statistical Inference for Stochastic Processes, 2014, 17 (3), pp.295 - 319. ⟨10.1007/s11203-014-9096-3⟩
Journal articles hal-01673453v1

Kalman type filter under stationary noises

Alexandre Brouste , Marina Kleptsyna
Systems and Control Letters, 2012, 61 (12), pp.1229 - 1234. ⟨10.1016/j.sysconle.2012.09.007⟩
Journal articles hal-01634605v1
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Homogenization of Random Parabolic Operator with Large Potential

Fabien Campillo , Marina Kleptsyna , Andrey Piatnitski
RR-3520, INRIA. 1998
Reports inria-00073164v1

Exact asymptotics in eigenproblems for fractional Brownian covariance operators

Marina Kleptsyna , Pavel Chigansky
Stochastic Processes and their Applications, 2017, ⟨10.1016/j.spa.2017.08.019⟩
Journal articles hal-01673459v1

Homogenization of random parabolic operators. Diffusion approximation

Alexandre Popier , M. Kleptsyna , Andrey Piatnitski
Stochastic Processes and their Applications, 2015, 125 (5), pp.1926 - 1944. ⟨10.1016/j.spa.2014.12.002⟩
Journal articles hal-01636331v1

On maximum likelihood estimation of the drift matrix of a degenerated O–U process

Marina Kleptsyna , Ana Prior , Paula Milheiro-Oliveira
Statistical Inference for Stochastic Processes, 2017, 20 (1), pp.57 - 78. ⟨10.1007/s11203-016-9137-1⟩
Journal articles hal-01673458v1

Mixed fractional Brownian motion: a spectral take

P. Chigansky , Marina Kleptsyna , D. Marushkevych
2019
Preprints, Working Papers, ... hal-02377525v1

Linear filtering with fractional noises: large time and small noise asymptotics

D. Afterman , P. Chigansky , Marina Kleptsyna , D. Marushkevych
2019
Preprints, Working Papers, ... hal-02378773v1
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On the fundamental solution of heat and stochastic heat equations

Marina Kleptsyna , Andrey Piatnitski , Alexandre Popier
2020
Preprints, Working Papers, ... hal-02158195v2