全球智库信息集成服务系统(G2TT): On the decompositions of observations with non-Gaussian additive noise and their innovations processes.

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来源类型	Book Section
DOI	10.1007/BFb0120047
	On the decompositions of observations with non-Gaussian additive noise and their innovations processes.
	Takeuchi Y; Bensoussan, A.; Lions, J.L.
发表日期	1990
出处	Analysis and Optimization of Systes. Eds. Bensoussan, A. & Lions, J.L. , pp. 248-257 Germany: Springer Berlin Heidelberg. ISBN 978-3-540-47085-4 DOI: 10.1007/BFb0120047 .
出版年	1990
语种	英语
摘要	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.
主题	Dynamic Systems (DYN)
URL	http://pure.iiasa.ac.at/id/eprint/14155/
来源智库	International Institute for Applied Systems Analysis (Austria)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/133239
推荐引用方式 GB/T 7714	Takeuchi Y,Bensoussan, A.,Lions, J.L.. On the decompositions of observations with non-Gaussian additive noise and their innovations processes.. 1990.