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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive
Teor. Veroyatnost. i Primenen., 1982 Volume 27, Issue 1, Pages 24–35 (Mi tvp2245)
This article is cited in 1 paper

On a filtering, interpolation and extrapolation of semi-martingales

L. G. Vetrov

Moscow

Abstract: The problem of filtering of a semi-martingale is considered. The signal process is supposed to be a semi-martingale too. The integral representation of an estimate, optimal in the square mean sense, is obtained.

Received: 28.03.1979


 English version: Theory of Probability and its Applications, 1982, 27:1, 24–36

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