Some applications of the Tsirelson spectral measures to noise filtering problems

07/02/2023

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by   Rémi Lassalle, et al.

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This paper investigates applications of the Tsirelson spectral measures to noise filtering problems within the classical Wiener noise framework. We particularly focus on those among those measures associated to square integrable Radon-Nikodym derivatives of laws of observation signals absolutely continuous with respect to the Wiener measure. Explicit formulas are provided to compute the values of the Tsirelson spectral measure of specific sets of interests. Then, several applications to filtering problems are considered, notably to the so-called innovation problem of filtering.