Entropic solution of the innovation conjecture of T. Kailath

DOI10.1215/21562261-3089055zbMath1341.60082arXiv1305.5072OpenAlexW1773098922WikidataQ122980196 ScholiaQ122980196MaRDI QIDQ500821

Ali Süleyman Üstünel

Publication date: 5 October 2015

Published in: Kyoto Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.5072

zbMATH Keywords

entropyBrownian motionGirsanov theoremstopping timesalmost sure invertibility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Entropy and other invariants, isomorphism, classification in ergodic theory (37A35) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic calculus of variations and the Malliavin calculus (60H07) Measures of information, entropy (94A17) Stochastic analysis (60H99)

Related Items (1)

Average preserving variation processes in view of optimization

Cites Work

• Entropy, invertibility and variational calculus of adapted shifts on Wiener space
• New results on the innovations problem for non-linear filtering
• On Kailath's Innovations Conjecture Hold
• Some Extensions of the Innovations Theorem*

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