Limits of conditional expectations
- 1 January 1993
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 39 (6), 1967-1972
- https://doi.org/10.1109/18.265505
Abstract
Convergence of conditional expectations is considered. The convergence results for conditional expectations are shown to be the same as when the absolutely continuous change of measure can be made directly. A filtering application is examined. If the approximating model uses noise increments with a density which must have compact support, conditions are given which ensure the expected convergence of the conditional expectationsKeywords
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