KLEPTSYNA Marina

Les Membres du laboratoire

KLEPTSYNA Marina

Professeur
Tel : +(33) 2 43 83 32 28

Courriel : marina.kleptsyna @ univ-lemans.fr (marina.kleptsyna @ univ-lemans.fr)

Domaine d’intérêt

Mouvement Brownien fractionnaire, Statistique asymptotique des processus à longue mémoire, filtrage, homogénéisation.

Publications

Revue

1. M.L. Kleptsyna, A. Yu. Veretennikov, About strong solutions of Itô-Volterra equations, Theory of Probability & Its Applications N.1, 1984, 154-158.

2. M.L. Kleptsyna, About strong solutions of stochastic differential equations with degenerating coefficients, Theory of Probability & Its Applications N.2, 1984, 392-396.

3. M.L. Kleptsyna, The theorems of comparison, existence and uniqueness for stochastic differential equations, Theory of Probability & Its Applications N.1, 1985, 147-152.

4. M.L. Kleptsyna, A.P. Serebrovskii, On the averaging principle for filtering of diffusion processes, Uspekhi Mathem. Nauk, V.49 N.4 (298), 1993, 212

5. M.L. Kleptsyna, A.P. Serebrovskii, The asymptotic behavior of the solution of parabolic equations with random coefficients, Uspekhi Mathem. Nauk, V. 52:2(306), 1994, 226

6. M.L. Kleptsyna, The diffusion approximation for Itô-Volterra processes, Theory of Probability & Its Applications 41 (2), 1996, 429-438.

7. M.L. Kleptsyna, R.Sh. Liptser, A.P. Serebrovskii, Nonlinear filtering problem with contamination. (Averaging principle) The Annals of Applied Probability, 1997, 4(7), 917-934.

8. M.L. Kleptsyna, A.P. Serebrovskii, Averaging principle for the nonlinear filtering problem with contamination. Information Transmission Problems 32 (2), 1996, 45-53.

9. M. Kleptsyna, A. Piatnitski, Homogenization of random parabolic operators. GAKUTO International Series, Mathematical Sciences and Applications, 9, 1997, pp. 241-257.

10. M.L. Kleptsyna, A.P. Serebrovskii, The asymptotic behavior of the conditional distributions of the diffusion processes with contamination. Information Transmission Problems 33 (2), 1997, 54-66

11. M.L. Kleptsyna, P.E. Kloeden, V.V. Anh, Linear filtering with Fractional Brownian Motion, Stochastic Analysis and Applications, 1998, 16(5), 907-914

12. M.L. Kleptsyna, P.E. Kloeden, V.V. Anh, Nonlinear filtering with Fractional Brownian Motion. Information Transmission Problems, 1998, 34(2), 1-12

13. M.L. Kleptsyna, P.E. Kloeden, V.V. Anh, Existence and Uniqueness Theorem for fBm SDE. Information Transmission Problems, 1998, 34(4), 51-61.

14. M.L. Kleptsyna, P.E. Kloeden, V.V. Anh, Linear filtering with fBm in the signal and observation processes, Journal of Applied Mathematics & Stochastic Analysis 6 : 1, 1999, 85-90

15. Kleptsyna M.L., Serebrovskii A.P., Large deviations for the conditional distributions of diffusion processes, Information Transmission Problems, 1999, 35(2), 83-90.

16. M.L. Kleptsyna, A. Le Breton, M.-C. Roubaud, General approach to filtering with fractional Brownian noises - Application to linear systems, Stochastics and Stochastics Reports, 71, 119-140, 2000.

17. M.L. Kleptsyna, A. Le Breton, M.-C. Roubaud, Parameter estimation and optimal filtering for fractional type stochastic systems, Statistical Inference for Stochastic Processes, 3, 2000, 173-182.

18. Kleptsyna M.L., Le Breton A. Optimal linear filtering of general multidimensional Gaussian processes - Application to Laplace transforms of quadratic functionals. Journal of Applied Mathematics & Stochastic Analysis , 14 (3),215-226, 2001.

19. Kleptsyna M.L., Le Breton A. Some explicit statistical results about elementary fractional type models, Nonlinear Analysis : Theory, Methods and Applications, 47 (7), 4783-4794, 2001

20. Campillo F., Kleptsyna M., Piatnitski A. Homogenization of random parabolic operators with large potential. Stochastic Processes and their Applications 93, No.1, 57-85, (2001).

21. M.L. Kleptsyna, A. Le Breton. A Cameron-Martin type formula for general Gaussian processes - A filtering approach, Stochastics and Stochastics Reports , 72 (3-4), 229-250, 2002

22. M.L. Kleptsyna, A. Le Breton. Statistical analysis of the fractional Ornstein-Uhlenbeck type process. Statistical Inference for Stochastic Processes, 5 (3), 229-248, 2002

23. M.L. Kleptsyna, A. Le Breton. Extension of the Kalman-Bucy filter to elementary linear systems with fractional Brownian noises. Statistical Inference for Stochastic Processes, 5 (3), 249-271, 2002.

24. M. Kleptsyna, A. Piatnitski. Averaging of non-self adjoint parabolic equations with random evolution (dynamics), Russian Math. Surveys, 57 (4), 729-751, 2002.

25. M.L. Kleptsyna, A. Le Breton and M. Viot. New formulas around Laplace transforms of quadratic forms for general Gaussian sequences. Journal of Applied Mathematics and Stochastic Analysis, 15 (4), 323-339, 2002

26. M.L.Kleptsyna, A. Le Breton and M. Viot. About the linear-quadratic regulator problem under a fractional Brownian perturbation and complete observation, ESAIM Probability and Statistics, 7, 161-170, 2003.

27. M.L. Kleptsyna, A. Le Breton and M. Viot. Asymptotically optimal filtering in linear systems with fractional Brownian noises, Statistics and Operations Research Transactions, 28 (2), 177-190, 2004

28. M.L. Kleptsyna, A. Le Breton and M. Viot .On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation, ESAIM Probability and Statistics, 9, 185-205, 2005

29. M.L. Kleptsyna, A. Le Breton and M. Viot. Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation, ESAIM Probability and Statistics, 12, 1,94-126, 2008

30. Kleptsyna, M., Veretennikov, A. On ergodic filters with wrong initial data, C.R.Acad. Sci. Paris, Ser. I, 344(2007), 727-731

31. Kleptsyna, M., Veretennikov, A. On discrete time filtres with wrong initial data, Probability Theory and Related Fields, 2007, 2008:141 ,411-444 .

32. Kleptsyna, M., Veretennikov, A. On continuous time filtres with wrong initial data, Theory of Probability and its Applications, 53:2 (2008), 240-276

33. M.L. Kleptsyna, A. Le Breton and M. Viot. On the linear-exponential filtering problem for general Gaussian processes, SIAM Journal on Control and Optimization, 2008, 47, N 6, 2886-2911.

34. Kleptsyna, M., Veretennikov, A On discrete time ergodic filters with wrong initial data, 2, Stochastic An International Journal of Probability and Stochastic Processes, 1744-2516, 2009

35. M.L.Kleptsyna, A.Le Breton, M.Viot, The Risk Sensitive and LEG filtering problems are not equivalent, Systems and Control Letters, Systems and Control Letters, 59(2010) pp. 484-490

36. Alexandre Brouste, Marina Kleptsyna , Asymptotic properties of MLE for partially observed fractional diffusion system, Statistical inference for Stochastic Processes, 2010, 13, N 1, 1-13,

37. A. Brouste, M. Kleptsyna and A. Popier (2011) Fractional diffusion with partial observations, Communications in Statistics - Theory and Methods, 40(19-20), 3479-3491

38. M. Kleptsyna, A. Le Breton and M. Viot (2011) Filtering with exponential criteria via linear observation channels, Global and Stochastic Analysis Vol. 1, No. 1, June 2011, 57-77.

39. A. Brouste and M. Kleptsyna (2012) Kalman type filter under stationary noises, Systems and Control Letters, 61, 1229-1234

40. A. Brouste, M. Kleptsyna and A. Popier (2012) Design for estimation of drift parameter in fractional diffusion system, Statistical Inference for Stochastic Processes, 15(2), 133-149.

41. Marina Kleptsyna, Alain Le Breton and Bernard Ycart (2014) Exponential transform of quadratic functional and multiplicative ergodicity
of a Gauss-Markov process, Staistics and Probability Letters, 87, 70-75

42. M. Kleptsyna, A. Piatnitski and A. Popier (2015) Homogenization of random parabolic operators. Diffusion approximation, Stochastic Processes and their Applications, 125, pp. 1926-1944

43. M. Kleptsyna, Yu. A. Kutoyants (2014) On Asymptotically Distribution Free Tests with Parametric Hypothesis for Ergodic Diffusion Processes, Statistical Inference for Stochastic Processes, 17(3), 295-319.

44. A. Brouste, C. Cai and M. Kleptsyna (2014), Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise, Mathematical Methods of Statistics, Vol. 23, No. 2, pp. 103–115.

45. Marina Kleptsyna, Alain Le Breton and Bernard Ycart (2015), Gärtner-Ellis condition for squared asymptotically stationary Gaussian processes, Modern Stochastics:Theory and Applications, Vol.2, No 3, 267-286, https://doi.org/10.15559/15-VMSTA38CNF

46. C.Cai, P.Chigansky, and M. Kleptsyna (2016), Mixed Gaussian processes : a filtering approach, Annals of Probability, Vol. 44, No. 4, 3032-3075
http://dx.doi.org/10.1214/15-AOP1041

47. Ana Prior, Marina Kleptsyna and Paula Milheiro-Oliveira (2016), On Maximum Likelihood Estimation of matrix parameter of degenerated O-U process, Stat Inference Stoch Process. doi:10.1007/s11203-016-9137-1

48. Marina Kleptsyna and Alexander Veretennikov (2016), On robustness of discrete time optimal filters, Mathematical Methods of Statistics, vol. 25, N 3, 1-12
http://arxiv.org/abs/1501.00190

49. P.Chigansky and M. Kleptsyna (2018), Exact asymptotics in eigenproblems for fractional Brownian covariance operators, Stochastic Processes and their Applications, vol. 128, N 6, 2007-2059

http://arxiv.org/abs/1601.05715
https://doi.org/10.1016/j.spa.2017.08.019

50. P.Chigansky and M. Kleptsyna (2018), Statistical analysis of the mixed fractional Ornstein—Uhlenbeck process,
Theory of Probability and its Applications, v.63, N3, 500-519
https://arxiv.org/abs/1507.04194

51. P. Chigansky, M. Kleptsyna, D. Marushkevych (2019), On the eigenproblem for Gaussian bridges, Bernoulli, Volume 26, Number 3 (2020), 1706-1726.
http://arxiv.org/abs/1706.09298 http://dx.doi.org/10.3150/19-BEJ1157

52. P Chigansky, M Kleptsyna, D Marushkevych, Exact spectral asymptotics of fractional processes
http://arxiv.org/abs/1802.09045

53. P. Chigansky, M. Kleptsyna, D Marushkevych (2020), Mixed fractional Brownian motion : a spectral take, J. Math. Anal. Appl. 482 (2020 ), no. 2, 123558, 23 pp.
https://dx.doi.org/10.1016/j.jmaa.2019.123558

http://arxiv.org/abs/1808.01789

54. Marina Kleptsyna, Andrey Piatnitski, Alexandre Popier, Asymptotic decomposition of solutions to random parabolic operators with

a random microstructure, Pure and Applied Functional Analysis, 2022, Volume 7, Number 4, 1339-1382

https://arxiv.org/abs/2010.00240

55. P. Chigansky, M. Kleptsyna, D. Marushkevych (2020), Asymptotic Accuracy in Estimation of a Fractional Signal in a Small White Noise, Automation and Remote Control, 2020, Vol. 81, No. 3, pp. 345–364.

56. P. Chigansky, M. Kleptsyna, Sharp asymptotics in a fractional Sturm-Liouville problem, Fractional Calculus and Applied Analysis (FCAA), Volume 24, No 3 (2021) pp. 715–738.

DOI: 10.1515/fca-2021-0031

57. D. Afterman, P. Chigansky, M. Kleptsyna, D. Marushkevych, Linear filtering with fractional noises : large time and small noise asymptotics, SIAM J, Control and Optimisation, 2022, Vol. 60, Iss. 3, 1463-1487

DOI:10.1137/20M1360359

https://arxiv.org/abs/1911.10062

58. P. Chigansky, M. Kleptsyna, Estimation of the Hurst parameter from continuous noisy data, Electronic Journal of Statistics 2023, Vol. 17, No. 2, 2343-2385

arXiv:2205.11092v1

59. Marina Kleptsyna, Andrey Piatnitski, Alexandre Popier, Higher order homogenization for random non-autonomous parabolic operators, 2024

Stochastics and Partial Differential Equations: Analysis and Computations

https://doi.org/10.48550/arXiv.1612.07478

Actes de conférences avec comité de lecture

1. M.L. Kleptsyna, The filtering problem for Itô-Volterra processes, V International Vilnius Conference on Probability Theory and Mathematical Statistics. Abstracts of communications, 1989, 225-227.

2. M.L. Kleptsyna , A.P. Serebrovskii, On the averaging principle for filtering of diffusion processes, VI International Vilnius Conference on Probability Theory and Mathematical Statistics. Abstracts of communications, 1993, 183-184.

3. M.L. Kleptsyna , The diffusion approximation for Itô-Volterra processes, VI International Vilnius Conference on Probability Theory and Mathematical Statistics. Abstracts of communications, 1993, 185-186.

4. M.L. Kleptsyna, P.E. Kloeden, V.V. Anh, Filtering Problem and Existence Theorem for SDE with Fractional Brownian Motion, in Abstracts of communications ``Stochastic and Global Analysis’’, Voronezh, Russia, 13-19 January, 1997, pp.28-29.

5. M.L. Kleptsyna, A.L. Piatnitski, Homogenization and diffusion approximation of random parabolic operators, in Abstracts of communications ``Stochastic and Global Analysis’’, Voronezh, Russia, 13-19 January, 1997, p.29.

6. Campillo F., Kleptsyna M., Piatnitski A. Homogenization of random parabolic operators with large potential. In B. Grigelionis et al., Eds., Prob. Theory and Math. Stat., Proceedings of the 7th Vilnius Conf., VSP/TEV, 1999, 115-134.

7. Kleptsyna, A. Le Breton, M.-C. Roubaud, An elementary approach to filtering in systems with fractional Brownian observation noise, in : B. Grigelionis et al., Eds., Prob. Theory and Math. Stat., Proceedings of the 7th Vilnius Conf., VSP/TEV, 1999, 373-392.

8. M.L. Kleptsyna, A. Le Breton, M.-C. Roubaud. Rudiments de calcul stochastique fractionnaire et applications statistiques. Résumés de XXXI Journées de statistique, 1999, 593-597

9. M.L.Kleptsyna, A. Le Breton and M. Viot. Exponential type filtering problems for general Gaussian processes, Proceedings of 48th IEEE Conference on Decision and Control, Shanghai, 2009, 2646-2651

Ouvrages collectifs

1. M.L. Kleptsyna, A.Yu. Veretennikov, About strong solutions of stochastic differential equations (non-markovian case), Statistics and Control of Stochastic Processes, Moscow, 1983, 3-8.

2. M.L. Kleptsyna, A.Yu. Veretennikov, On filtering and properties of conditional laws of Itô-Volterra processes, Statistics and Control of Stochastic Processes, New York 1984, 179-196.

3. M.L. Kleptsyna, A.Yu. Veretennikov, About trajectory approach to stochastic differential equations, Statistics and Control of Stochastic Processes, Moscow, 1989, 22-23.

4. M.L. Kleptsyna, A. Le Breton and M. Viot. About Laplace transforms of quadratic functionals of multidimensional Gauss-Markov processes and matrix-valued Riccati differential equations. In J.L. Menaldi, E. Rofman and A. Sulem, Ed., Optimal Control and PDE : Innovations and Applications, in honor of Prof. A. Bensoussan on the occasion of his 60th birthday, pages 248-257, Paris, December 4-5 2000, 2000. IOS Press, Amsterdam.

5. M. L. Kleptsyna and A. Y. Veretennikov, On Filtering with Unspecified Initial Data for Nonuniformly Ergodic Signals // The Oxford Handbook of Nonlinear Filtering Edited by Dan Crisan and Boris Rozovskii, Oxford Handbooks in Mathematics, 2011, 267-298