Some recent results in finitely additive white noise theory
Copyright policy )Some recent results in finitely additive white noise theory
This is mostly a review paper in which the authors describe results which they have obtained on the subject of finitely additive white noise theory, extending work of \textit{A. V. Balakrishnan} [see, for instance, ``Applied functional analysis'' (1976; Zbl 0333.93051)], and \textit{G. Kallianpur} and \textit{R. L. Karandikar} [see, for instance, ``White noise theory of filtering, prediction and smoothing'' (1988; Zbl 0724.93076)]. Most details are on the definition of conditional expectations, and a result on the representation of a nonlinear filter under the so-called Beneš condition is given. For related information see the paper reviewed above.
- Institut National de la Recherche Scientifique Canada
- University of Twente Netherlands
IR-85783, Markov property, 93E11, Finitely additive white noise, Stochastic ordinary differential equations (aspects of stochastic analysis), Filtering in stochastic control theory, finitely additive white noise theory, Nonlinear filter, METIS-140873, 60H10, nonlinear filter under the so-called Benes condition, Radon-Nikodym derivative, Signal detection and filtering (aspects of stochastic processes)
IR-85783, Markov property, 93E11, Finitely additive white noise, Stochastic ordinary differential equations (aspects of stochastic analysis), Filtering in stochastic control theory, finitely additive white noise theory, Nonlinear filter, METIS-140873, 60H10, nonlinear filter under the so-called Benes condition, Radon-Nikodym derivative, Signal detection and filtering (aspects of stochastic processes)
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