Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 1, pp. 24-35
Citer cet article
L. G. Vetrov. On a filtering, interpolation and extrapolation of semi-martingales. Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 1, pp. 24-35. http://geodesic.mathdoc.fr/item/TVP_1982_27_1_a2/
@article{TVP_1982_27_1_a2,
author = {L. G. Vetrov},
title = {On a filtering, interpolation and extrapolation of semi-martingales},
journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
pages = {24--35},
year = {1982},
volume = {27},
number = {1},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/TVP_1982_27_1_a2/}
}
TY - JOUR
AU - L. G. Vetrov
TI - On a filtering, interpolation and extrapolation of semi-martingales
JO - Teoriâ veroâtnostej i ee primeneniâ
PY - 1982
SP - 24
EP - 35
VL - 27
IS - 1
UR - http://geodesic.mathdoc.fr/item/TVP_1982_27_1_a2/
LA - ru
ID - TVP_1982_27_1_a2
ER -
%0 Journal Article
%A L. G. Vetrov
%T On a filtering, interpolation and extrapolation of semi-martingales
%J Teoriâ veroâtnostej i ee primeneniâ
%D 1982
%P 24-35
%V 27
%N 1
%U http://geodesic.mathdoc.fr/item/TVP_1982_27_1_a2/
%G ru
%F TVP_1982_27_1_a2
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.
