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On the Innovations Conjecture of Nonlinear Filtering with Dependent Data

   
@article{EJP585,
	author = {Andrew Heunis and Vladimir Lucic},
	title = {On the Innovations Conjecture of Nonlinear Filtering with Dependent Data},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {13},
	year = {2008},
	keywords = {nonlinear filter; innovations conjecture; pathwise-uniqueness},
	abstract = {We establish the innovations conjecture for a nonlinear filtering problem in which the signal to be estimated is conditioned by the observations. The approach uses only elementary stochastic analysis, together with a variant due to J.M.C. Clark of a theorem of Yamada and Watanabe on pathwise-uniqueness and strong solutions of stochastic differential equations.},
	pages = {no. 72, 2190-2216},
	issn = {1083-6489},
	doi = {10.1214/EJP.v13-585},    
        url = {http://ejp.ejpecp.org/article/view/585}}