• DocumentCode
    817567
  • Title

    The martingale theory of jump processes

  • Author

    Varaiya, Pravin

  • Author_Institution
    University of California, Berkeley, CA, USA
  • Volume
    20
  • Issue
    1
  • fYear
    1975
  • fDate
    2/1/1975 12:00:00 AM
  • Firstpage
    34
  • Lastpage
    42
  • Abstract
    A jump process is best analyzed by investigating the space of all martingales which are generated by the process. The structure of this space of martingales becomes clear in the martingale representation results. Having understood this structure, one can completely resolve the most important problems in 1) modeling and description, 2) detection or hypothesis testing, and 3) filtering of jump processes. Several exercises are worked out to suggest the power of this approach.
  • Keywords
    Jump processes; Stochastic processes; Calculus; Communication standards; Communication system control; Context; Filtering theory; Mathematical model; Medical diagnosis; Motion control; Stochastic processes; Uncertainty;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1975.1100849
  • Filename
    1100849
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=817567