Robert Manson Sawko, Malgorzata Zimon
SIAM/ASA JUQ
Paper
Recursive integral equations for the detection of counting processes
Abstract
A recursive stochastic integral equation for the detection of counting processes is derived from a previously known formula [5] of the likelihood ratio. This is done quite simply by using a result due to Doléans-Dade [4] on the solution of stochastic integral equations. © 1976 Springer-Verlag New York Inc.
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