A class of stochastic processes with a law generalizing a nondecomposable law on the real line

A. F. Gualtierotti

Stochastic Processes and their Applications, 1982, vol. 13, issue 1, 87-117

Abstract: In this paper we define a class of stochastic processes where law can be considered as a natural generalization of a nondecomposable law. In particular case, we express the processes thus defined as semimartingales with a Brownian martingale part, and compute the likelihood for detecting a signal immersed in additive noise which looks like Brownian motion, but has different independence properties.

Keywords: Stochastic; processes; signal; detection; likelihood; continuity; of; induced; measures; semimartingales (search for similar items in EconPapers)
Date: 1982
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