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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⟩
Article dans une revue hal-00921152v2
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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⟩
Article dans une revue hal-01116720v1

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
Article dans une revue hal-00851599v1

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⟩
Article dans une revue hal-00853128v1

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⟩
Article dans une revue hal-00853124v1

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⟩
Article dans une revue istex hal-00853130v1

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⟩
Communication dans un congrès hal-00853917v1