A Cameron-Martin type formula for general Gaussian processes--a filtering approach (Q4542934)
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scientific article; zbMATH DE number 1779733
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| English | A Cameron-Martin type formula for general Gaussian processes--a filtering approach |
scientific article; zbMATH DE number 1779733 |
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A Cameron-Martin type formula for general Gaussian processes--a filtering approach (English)
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3 November 2002
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Gaussian process
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martingale
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optimal filtering
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filtering error
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Riccati-Volterra equation
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0.8116219639778137
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0.8113836646080017
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0.7619863152503967
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0.7556689977645874
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A Cameron-Martin type formula is derived for the Laplace transform of some integrals of the square of a general continuous Gaussian process. The formula involves in particular the variance of the filtering error in some auxiliary optimal filtering problem which is used in the proof. This variance is expressed in terms of the solution of a Riccati-Volterra type integral equation containing the covariance function of the process. In various specific cases this equation is solved and then the formula becomes completely explicit.
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