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A class of stochastic processes with a law generalizing a nondecomposable law on the real line

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  • Gualtierotti, A. F.

Abstract

In this paper we define a class of stochastic processes where law can be considered as a natural generalization of a nondecomposable law. In particular case, we express the processes thus defined as semimartingales with a Brownian martingale part, and compute the likelihood for detecting a signal immersed in additive noise which looks like Brownian motion, but has different independence properties.

Suggested Citation

  • Gualtierotti, A. F., 1982. "A class of stochastic processes with a law generalizing a nondecomposable law on the real line," Stochastic Processes and their Applications, Elsevier, vol. 13(1), pages 87-117, July.
    • Handle: RePEc:eee:spapps:v:13:y:1982:i:1:p:87-117
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