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Recursive integral equations for the detection of counting processes
Authors:Francois B Dolivo  Frederick J Beutler
Institution:(1) IBM Research Laboratory, Zurich, Switzerland;(2) Information and Control Engineering Program, The University of Michigan, 48109 Ann Arbor, Michigan, USA;(3) IBM Forschung Laboratorium, CH 8803 Rüschlitnou, Switzerland
Abstract:A recursive stochastic integral equation for the detection of counting processes is derived from a previously known formula 5] of the likelihood ratio. This is done quite simply by using a result due to Doléans-Dade 4] on the solution of stochastic integral equations.Research sponsored by the Air Force Office of Scientific Research, AFSC, USAF, under Grant no. AFOSR-70-1920C, and the National Science Foundation under Grant no. GK-20385 and ENG 75-20223.
Keywords:
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