On Filtering, Interpolation and Extrapolation of Semimartingales

DOI10.1137/1127003MaRDI QIDQ3680004zbMATH OpenOpenAlexFDO

Authors 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

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)

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