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 Electronic Journal of Probability > Vol. 13 (2008) > Paper 72 open journal systems 


On the Innovations Conjecture of Nonlinear Filtering with Dependent Data

Andrew Heunis, University of Waterloo
Vladimir Lucic, Barclays Capital


Abstract
We establish the innovations conjecture for a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The approach uses only elementary stochastic analysis, together with a variant due to J.M.C. Clark of a theorem of Yamada and Watanabe on pathwise-uniqueness and strong solutions of stochastic differential equations.


Full text: PDF

Pages: 2190-2216

Published on: December 8, 2008
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Electronic Journal of Probability. ISSN: 1083-6489