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Results tagged with stochastic-filtering
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user 157982
Stochastic filtering deals with the problem of finding the best estimate for a signal, given a noisy or incomplete observation.
2
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Continuous version of conditional probability distributions $( \mathcal{L}(X_t | \mathcal{G}...
Let me first explain the setup:
Let $(X_t)_{t \geq 0}$ be a stochastic process on some probability space $(\Omega,\mathcal{F},P)$ with values in a complete and separable metric space $E$ (e.g. $E = \ …
- 1,989
1
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0
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If $(\alpha_t)$ is $\mathbb{F}^X$-progressive for a continuous process $(X_t)$, can we write...
Let $X = (X_t)_{t \geq 0}$ be a continuous, real-valued process defined on some probability space $(\Omega,\mathcal{F},P)$, and let $\mathbb{F}^X = (\mathcal{F}_{t}^X)_{t \geq 0}$ be the filtration ge …
- 309
1
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2
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When does the predictable $\sigma$-algebra $\mathcal{P}$ coincide with the optional $\sigma$...
The setup of my question is the following: Suppose that we have a measurable space $(\Omega,\mathcal{F})$ and a filtration $\mathbf{F} = (\mathcal{F}_t)_{t \geq 0}$ on it. Let $\mathcal{P}(\mathbf{F}) …
- 1,989