Abstract
Let (Ω, F, P) be a complete probability space, and let (F t ), 0 ≤ t ≤ T, be a nondecreasing family of right continuous σ-algebras of F augmented by sets from F of zero probability.
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Liptser, R.S., Shiryaev, A.N. (2001). General Equations of Optimal Nonlinear Filtering, Interpolation and Extrapolation of Partially Observable Random Processes. In: Statistics of Random Processes. Applications of Mathematics, vol 5. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-13043-8_9
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