Some Extensions of the Innovations Theorem*

DOI10.1002/J.1538-7305.1971.TB02563.XzbMath0227.60031OpenAlexW1980245868MaRDI QIDQ5634672

Thomas Kailath

Publication date: 1971

Published in: Bell System Technical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/j.1538-7305.1971.tb02563.x

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (8)

On the Innovation Theorem ⋮ Average preserving variation processes in view of optimization ⋮ Entropic solution of the innovation conjecture of T. Kailath ⋮ Unnamed Item ⋮ Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control ⋮ The role of observations in stochastic linear dynamic models ⋮ Examples of optimal control for partially observable systems:comparison, classical, and martingale methods ⋮ An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data

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