A prediction problem for the Brownian sheet
The information given by the position of the Brownian sheet \(W_ t\) on \(R^ 2\) along or near a curve can be represented by the sharp field \({\mathcal F}_ 1\), the germ field \({\mathcal F}_ 2\), or the minimal splitting field \({\mathcal F}_ 3\). The conditional expectations \(E\{W_ t| {\mathcal F}_ i\}\) are calculated.
scientific article; zbMATH DE number 4086668
scientific article