Real-time tracking: Optimal determination of the characteristics, using martingale tools (Q1125826)

The paper deals with the problem of real-time target tracking: How one gets the best knowledge of the position of a target at a given time, if all the previous (discrete) observations are known. The authors derive an ``affine'' random walk formulation from a concrete target tracking problem and show, using martingale tools, that the associated process is well-behaved.