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

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.

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Year of publication:	1982
Authors:	Gualtierotti, A. F.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 13.1982, 1, p. 87-117
Publisher:	Elsevier
Keywords:	Stochastic processes signal detection likelihood continuity of induced measures semimartingales

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873699