The Structure of Radon-Nikodym Derivatives with Respect to Wiener and Related Measures

DOI10.1214/AOMS/1177693332MaRDI QIDQ5658894zbMATH OpenOpenAlexFDO

Authors T. Kailath

Publication date 1971

Published in Annals of Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aoms/1177693332

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Estimation and detection in stochastic control theory (93E10) Foundations of stochastic processes (60G05)

Cited in

(14)

• Random rotations of the Wiener path
• Conditions for the Absolute Continuity of Two Diffusions
• Average preserving variation processes in view of optimization
• Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales
• Gaussian measures on linear spaces
• Gaussian channels and the optimal coding
• Transformations of the Brownian motion on a Riemannian symmetric space
• Locally most powerful sequential tests for stochastic processes
• Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales
• Filtration shrinkage, the structure of deflators, and failure of market completeness
• Pre and post break parameter inference
• State estimation for partially observed Markov chains
• A general fluctuation-response relation for noise variations and its application to driven hydrodynamic experiments
• Infinite-dimensional Wiener processes with drift

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