Filtering of processes with independent increments

DOI10.1007/BF01057479MaRDI QIDQ1066549zbMATH OpenOpenAlexFDO

Authors A. Yu. Shevlyakov

Publication date 1984

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01057479

zbMATH Keywords

characteristic functionscomponentmean-square best estimateobservableunobservable component

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Markov processes (60J99) Filtering in stochastic control theory (93E11)

Review text

Let \(\{\) \(\theta\) (t),\(\xi\) (t)\(\}\), \(t\geq 0\), be a partially observed random process, where \(\theta (t)=a\eta_ 1(t)+\eta_ 2(t)\), \(\xi (t)=b\eta_ 1(t)+\eta_ 2(t)\) and \(\eta_ i(t)\), \(i=1,2\) are some random processes with independent increments. The values \[ m(t)=E\{\theta (t)| {\mathcal F}_ t\}\quad and\quad \gamma (t)=E\{(\theta (t)-m(t))^ 2| {\mathcal F}_ t\} \] are calculated, where \({\mathcal F}_ t=\sigma \{\xi (s)\), \(0\leq s\leq t\}\).

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Cited in

(2)

• Couplings for processes with independent increments
• On filtered binary processes

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