On a nonlinear prediction problem for one-dimensional stochastic processes
A local theory of \(\text{KM}_2\text{O}\)-Langevin equations is developed for degenerate flows and it is applied to the nonlinear prediction problem for one-dimensional local stochastic processes under some conditions on the observable process \((X(n),\;n\in Z)\) which are weaker than the conditions \(|X(n)|\leq C\) a.s. and \(EX(n)=0.\) The condition of strict stationarity is used only for the case when it is necessary to shift the time domain of nonlinear prediction. Some workable and computable algorithms for calculating the nonlinear predictor using only finite information are given.
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