Accession Number:

AD0763740

Title:

On The Approximation of Ito Integrals Using Band-Limited Processes,

Descriptive Note:

Corporate Author:

CALIFORNIA UNIV LOS ANGELES SCHOOL OF ENGINEERING AND APPLIED SCIENCE

Personal Author(s):

Report Date:

1973-06-01

Pagination or Media Count:

37.0

Abstract:

Ito integrals involving observed data arise in many applications where the observation noise is assumed to be white. Since the Wiener process is not realizable, and any observed process must be smooth, the need arises for approximation in terms of a smooth process - such as a band-limited process which has no frequency components outside a finite band. It is shown that under a sufficient condition such an approximation is possible provided one also adds suitable correction terms. Modified author abstract

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE