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,
InnovationNature: Exposition
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X: 01, 1-18, LNM 511 (1976)
BRÉMAUD, Pierre
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 theoryNature: Original Retrieve article from Numdam
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 theoryNature: Original Retrieve article from Numdam
XIII: 32, 378-384, LNM 721 (1979)
SZPIRGLAS, Jacques;
MAZZIOTTO, Gérald
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 theoryNature: Original Retrieve article from Numdam
