Orthogonal functionals of independent-increment processes

@article{Segall1976OrthogonalFO,
  title={Orthogonal functionals of independent-increment processes},
  author={Adrian Segall and Thomas Kailath},
  journal={IEEE Trans. Information Theory},
  year={1976},
  volume={22},
  pages={287-298}
}
In analogy with the Wiener-M theory of multiple integrals and orthogonal polynominals, a set of functionals of general square-integrable martingales is presented which, in the case of independent-increments processes, is orthogonal and complete in the sense that every L*-functional of the independent-increment process can be represented as an infinite sum… CONTINUE READING