On The Approximation of Ito Integrals Using Band-Limited Processes
Abstract
Ito integrals involving observed data arise in many applications where the observation noise is assumed to be white. Since the Wiener process is not realizable, and any observed process must be smooth, the need arises for approximation in terms of a smooth process - such as a band-limited process which has no frequency components outside a finite band. It is shown that under a sufficient condition such an approximation is possible provided one also adds suitable correction terms.
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1973
- Accession Number
- AD0763740
Entities
People
- A.V. Balakrishnan
Organizations
- University of California, Los Angeles