Sottinen, Tommi; Yazigi, Adil - In: Stochastic Processes and their Applications 124 (2014) 9, pp. 3084-3105
types of representations: orthogonal and canonical. The orthogonal representation is constructed from the entire path of the … process. Thus, the future knowledge of the path is needed. In the canonical representation the filtrations of the bridge and … the underlying process coincide. The canonical representation is provided for prediction-invertible Gaussian processes …