Radon-Nikodym derivatives with respect to measures induced by discontinuous independent-increment processes

DOI10.1214/aop/1176996352zbMath0312.60023OpenAlexW1981835176MaRDI QIDQ1219638

Adrian Segall, Thomas Kailath

Publication date: 1975

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176996352

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Continuity and singularity of induced measures (60G30) Markov processes (60J99)

Related Items

Supervised Classification for a Family of Gaussian Functional Models, On the Use of Reproducing Kernel Hilbert Spaces in Functional Classification, State estimation for Cox processes on general spaces, Nonparametric detection for univariate and functional data, Multivariate point processes: predictable projection, Radon-Nikodym derivatives, representation of martingales, Asymptotic theory for estimating the parameters of a Levy process, Non-parametric estimation for partially observed transient diffusion processes, [https://portal.mardi4nfdi.de/wiki/Publication:4076585 Caract�ristiques locales et conditions de continuit� absolue pour les semi-martingales], Weak convergence of stochastic integrals related to counting processes, Random time changes for multivariate counting processes, An alternative approach to nonlinear filtering, Robust optimal investment and reinsurance problems with learning