Abstract
Given two equivalent Gaussian processes the notion of a non-anticipative representation of one of the processes with respect to the other is defined. The main theorem establishes the existence of such a representation under very general conditions. The result is applied to derive such representations explicitly in two important cases where one of the processes is (i) a Wiener process, and (ii) a $N$-ple Gaussian Markov process. Radon-Nikodym derivatives are also discussed.
Citation
G. Kallianpur. H. Oodaira. "Non-Anticipative Representations of Equivalent Gaussian Processes." Ann. Probab. 1 (1) 104 - 122, February, 1973. https://doi.org/10.1214/aop/1176997027
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