Jin Heon Seo / Ravi R. Mazumdar On the innovations problem in finitely additive white noise approach to nonlinear filtering Journal Article In: Integration and Differential Equations, vol. 1, no. 2, pp. 231-239, 1988, ISSN: 978-3-540-17575-9. @article{SeoMazumdar88,
title = {On the innovations problem in finitely additive white noise approach to nonlinear filtering},
author = {Jin Heon Seo and Ravi R. Mazumdar},
doi = {10.1007/BFb0009058},
issn = {978-3-540-17575-9},
year = {1988},
date = {1988-01-01},
journal = {Integration and Differential Equations},
volume = {1},
number = {2},
pages = {231-239},
abstract = {Consider an observed process which consists of a stochastic signal process with additive Gaussian white noise in the sense of Balakrishnan. Under the assumption that E exp δ∥s∥T/2 < ∞, δ > 0, where St is the signal process, and St is independent of the noise, it is shown that there exists a bijective causal mapping from the observation space to the innovations space. This shows that the innovations equivalence conjecture of Kailath holds for the finitely additive white noise non-linear filtering problem in this case.},
keywords = {nonlinear filtering},
pubstate = {published},
tppubtype = {article}
}
Consider an observed process which consists of a stochastic signal process with additive Gaussian white noise in the sense of Balakrishnan. Under the assumption that E exp δ∥s∥T/2 < ∞, δ > 0, where St is the signal process, and St is independent of the noise, it is shown that there exists a bijective causal mapping from the observation space to the innovations space. This shows that the innovations equivalence conjecture of Kailath holds for the finitely additive white noise non-linear filtering problem in this case. |