Information predictability of stochastic processes in continuous time
Abstract
The definition of information predictability stochastic process and its parameters is given in the article. Obtain relations connecting the predictability of a stochastic process as a whole predictability of its individual parameters are recieved. The examples of the definition of information predictability for processes described by stochastic differential equations, are shown.
For citations:
Ausiannikau A.V. Information predictability of stochastic processes in continuous time. Doklady BGUIR. 2014;(6):48-54. (In Russ.)
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