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2008 On the Innovations Conjecture of Nonlinear Filtering with Dependent Data
Andrew Heunis, Vladimir Lucic
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Electron. J. Probab. 13: 2190-2216 (2008). DOI: 10.1214/EJP.v13-585

Abstract

We establish the innovations conjecture for a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The approach uses only elementary stochastic analysis, together with a variant due to J.M.C. Clark of a theorem of Yamada and Watanabe on pathwise-uniqueness and strong solutions of stochastic differential equations.

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Andrew Heunis. Vladimir Lucic. "On the Innovations Conjecture of Nonlinear Filtering with Dependent Data." Electron. J. Probab. 13 2190 - 2216, 2008. https://doi.org/10.1214/EJP.v13-585

Information

Accepted: 5 November 2008; Published: 2008
First available in Project Euclid: 1 June 2016

zbMATH: 1191.60051
MathSciNet: MR2461540
Digital Object Identifier: 10.1214/EJP.v13-585

Subjects:
Primary: 60G35

Keywords: innovations conjecture , nonlinear filter , pathwise-uniqueness

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