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Nonlinear filtering equations for two-parameter semimartingales |
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| Authors: | H. Korezlioglu G. Mazziotto J. Szpirglas |
| Affiliation: | École Nationale Supérieure des Télécommunications, 46, Rue Barrault, 75634 Paris Cédex 13, France;Centre National d''Etudes des Télécommunications, PAA/TIM/MTI, 92131 Issy-les-Moulineaux, France |
| Abstract: | Nonlinear filtering equations for two-parameter semimartingales of a Brownian sheet are obtained by an extended reference probability method, also applicable to the known Gaussian linear models. |
| Keywords: | Two-parameter semimartingale Brownian sheet nonlinear filtering reference probability |
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