A Martingale Approach to Modeling, Estimation and Detection of Jump Processes.
Abstract
The study contains a systematic approach to problems of modeling, nonlinear estimation and detection of signals in jump-type observations, namely processes whose paths are discontinuous. It is shown that modern martingale theory provides a powerful tool for attacking these problems in a unified and rigorous manner. A general model for describing signals in jump observations is presented. It is shown that a martingale model includes all the previously proposed ones and also covers the difficult case of past-dependent signals that arises in feedback communication and control problems. (Modified author abstract)
Document Details
- Document Type
- Technical Report
- Publication Date
- Aug 01, 1973
- Accession Number
- AD0770554
Entities
People
- Adrian Segall
Organizations
- Stanford University