Abstract
We treat the problem of modeling events happening randomly in time at a rate determined by some other random “signal” process. It is shown that a martingale model includes all previously proposed models for such problems and also covers the difficult case of “past-dependent” signals that arises in feedback communication and control problems. It turns out that this model is very similar to the well-known signal-in-additive-white-Gaussian-noise model, so that it can be used conveniently in solving problems of detection of signals in jump processes and estimation of signals from jump processes.
Original language | English |
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Pages (from-to) | 135-143 |
Number of pages | 9 |
Journal | IEEE Transactions on Information Theory |
Volume | 21 |
Issue number | 2 |
DOIs | |
State | Published - Mar 1975 |
Externally published | Yes |