Information Processes in Filtered Experiments

  title={Information Processes in Filtered Experiments},
  author={Peter Spreij},
In this paper we give explicit representations for Kullback-Leibler information numbers between a priori and a posteriori distributions, when the observations come from a semimartingale. We assume that the distribution of the observed semimartingale is described in terms of the so-called triplet of predictable characteristics. We end by considering the corresponding notions in a model with a fractional noise. 2000 Mathematics Subject Classification: 60G07, 60H30, 62B15, 94A17.