RT Book, Section
SR 00
ID 10.1007/BFb0120047
A1 Takeuchi, Y.
T1 On the decompositions of observations with non-Gaussian additive noise and their innovations processes
YR 1990
FD 1990
VO 144
SP 248
OP 257
AB 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.
A2 Bensoussan, A.
A2 Lions, J.L.
T2 Analysis and Optimization of Systes
PB Springer Berlin Heidelberg
PP Germany
T3 Lecture Notes in Control and Information Sciences
SN 978-3-540-47085-4
AV Published
LK https://pure.iiasa.ac.at/id/eprint/14155/