Björk, Tomas; Johansson, Björn - In: Stochastic Processes and their Applications 43 (1992) 2, pp. 191-222
We study prediction problems for models where the underlying probability measure is not known. These problems are intimately connected with time reversal of Markov processes, and optimal predictors are shown to be characterized by being reverse martingales. For a class of diffusions we give a...