On Filtering, Interpolation and Extrapolation of Semimartingales

DOI10.1137/1127003zbMATH Open0565.60039OpenAlexW1968857591MaRDI QIDQ3680004FDOQ3680004

L. G. Vetrov

Publication date: 1982

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1127003

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zbMATH Keywords

semimartingalemultivariate point processmean square optimal estimate

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Generalizations of martingales (60G48)

Cited In (4)

• A special semimartingale derivation of smoothing and prediction equations
• A criterion for filtering in semimartingale models
• Filtering of processes with independent increments
• Title not available (Why is that?)

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