On the Innovations Conjecture of Nonlinear Filtering with Dependent Data
نویسندگان
چکیده
We establish the innovations conjecture for a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The approach uses only elementary stochastic analysis, together with a variant due to J.M.C. Clark of a theorem of Yamada and Watanabe on pathwise-uniqueness and strong solutions of stochastic differential equations.
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تاریخ انتشار 2008