Accession Number:

AD0770554

Title:

A Martingale Approach to Modeling, Estimation and Detection of Jump Processes.

Descriptive Note:

Technical rept. no. 7050-21,

Corporate Author:

STANFORD UNIV CALIF STANFORD ELECTRONICS LABS

Personal Author(s):

Report Date:

1973-08-01

Pagination or Media Count:

180.0

Abstract:

The study contains a systematic approach to problems of modeling, nonlinear estimation and detection of signals in jump-type observations, namely processes whose paths are discontinuous. It is shown that modern martingale theory provides a powerful tool for attacking these problems in a unified and rigorous manner. A general model for describing signals in jump observations is presented. It is shown that a martingale model includes all the previously proposed ones and also covers the difficult case of past-dependent signals that arises in feedback communication and control problems. Modified author abstract

Subject Categories:

  • Statistics and Probability
  • Cybernetics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE