Lo, J. T.

On optimal nonlinear estimation. I - Continuous observation.

A generalization of Bucy's (1965) representation theorem is obtained under very weak hypotheses. The generalized theorem is shown to play the same role in the case of general optimal estimation for an arbitrary random process as does the Bucy theorem in the case of optimal filtering for a diffusion process. At least for the models considered, the possibility is pointed out to reduce all sequential estimation problems to the problem of filtering. Hence, filtering theory is seen to represent the core of estimation theory, and is believed to define the direction in which future research should be focused.