TY  - CHAP
CY  - Germany
ID  - iiasa14155
UR  - https://pure.iiasa.ac.at/id/eprint/14155/
A1  - Takeuchi, Y.
N2  - This paper is concerned with information structure of the observation with additive non-Gaussian noise under the assumption that the noise belongs to a class of continuous martingales. It is known that such an observation is decomposed into a process with additive Gaussian noise and the quadratic covariation process of the additive noise. It is also known that the innovations process is decomposed into a standard Brownian motion process and the quadratic covariation process. In this paper, a number of sufficient conditions are obtained for the observation to have the information structure such that the information in the quadratic covariation process is not contained in the additive Gaussian part of the observation and/or the Brownian motion part of the innovation process.
ED  - Bensoussan, A.
ED  - Lions, J.L.
M1  - 144
TI  - On the decompositions of observations with non-Gaussian additive noise and their innovations processes
AV  - none
EP  - 257
Y1  - 1990///
PB  - Springer Berlin Heidelberg
T3  - Lecture Notes in Control and Information Sciences
SN  - 978-3-540-47085-4
SP  - 248
T2  - Analysis and Optimization of Systes
ER  -