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4 matches found
VII: 23, 223-247, LNM 321 (1973)
MEYER, Paul-André
Sur un problème de filtration (General theory of processes)
This is an attempt to present, in the usual language of the seminar, a a simple case from filtering theory (additive white noise in one dimension). The results proved are the Kallianpur-Striebel formula (Ann. Math. Stat., 39, 1968) and a theorem of Clark
Keywords: Filtering theory, Innovation
Nature: Exposition
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X: 01, 1-18, LNM 511 (1976)
La méthode des semi-martingales en filtrage quand l'observation est un processus ponctuel marqué (Martingale theory, Point processes)
This paper discusses martingale methods (as developed by Jacod, Z. für W-theorie, 31, 1975) in the filtering theory of point processes
Comment: The author has greatly developed this topic in his book Poisson Processes and Queues, Springer 1981
Keywords: Point processes, Previsible representation, Filtering theory
Nature: Original
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XI: 14, 257-297, LNM 581 (1977)
YOR, Marc
Sur les théories du filtrage et de la prédiction (General theory of processes, Markov processes)
To be completed
Comment: MR 57, 10801
Keywords: Filtering theory, Prediction theory
Nature: Original
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XIII: 32, 378-384, LNM 721 (1979)
Théorème de séparation dans le problème d'arrêt optimal (General theory of processes)
Let $({\cal G}_t)$ be an enlargement of a filtration $({\cal F}_t)$ with the property that for every $t$, if $X$ is ${\cal G}_t$-measurable, then $E[X\,|\,{\cal F}_t]=E[X\,|\,{\cal F}_\infty]$. Then if $(X_t)$ is a ${\cal F}$-optional process, its Snell envelope is the same in both filtrations. Applications are given to filtering theory
Keywords: Optimal stopping, Snell's envelope, Filtering theory
Nature: Original
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