フィードバックをもつ観測機構に対するイノベーションの情報等価性 [in Japanese] Innovations Informational Equivalence for Observations with Feedback [in Japanese]
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The problem of innovations informational equivalence is discussed for observations with feedback. The additive noise is assumed to be a continuous square integrable martingale. Under the assumptions of 1) square integrability on the signal; 2) mutual independence between the noise and the part of the signal other than the feedback; 3) existence and uniqueness of the strong solution of the observation equation as a stochastic differential equation; 4) a weighted square integrability on the signal, it is shown that the innovations informational equivalence holds.
- Transactions of the Society of Instrument and Control Engineers
Transactions of the Society of Instrument and Control Engineers 33(6), 483-487, 1997-06-30
The Society of Instrument and Control Engineers