Some Extensions of the Innovations Theorem*

DOI10.1002/J.1538-7305.1971.TB02563.XMaRDI QIDQ5634672zbMATH OpenOpenAlexFDO

Authors T. Kailath

Publication date 1971

Published in Bell System Technical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/j.1538-7305.1971.tb02563.x

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with discrete parameter (60G42)

Cited in

(9)

• Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
• The role of observations in stochastic linear dynamic models
• An Approximate Innovation Method For The Estimation Of Diffusion Processes From Discrete Data
• On the Innovation Theorem
• Examples of optimal control for partially observable systems:comparison, classical, and martingale methods
• Entropic solution of the innovation conjecture of T. Kailath
• scientific article; zbMATH DE number 7625202 (Why is no real title available?)
• Average preserving variation processes in view of optimization
• On a class of average preserving semi-martingale laws optimization problems

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