Discrete Stochastic Processes and Optimal Filtering

Table of Symbols and Notations

	Numerical sets
L2	Space of summable square function
a.s.	Almost surely
E	Mathematical expectation
r.v.	Random variable
r.r.v.	Real random variable
	Convergence a.s. of sequence Xn to X
	Scalar product in L2
	Norm L2
Var	Variance
Cov	Covariance
	Min
X ~ N(m,σ2)	Normal law of means m and of variance σ2
AT	Transposed matrix A
	Hilbert space generated by , scalar or multivariate processes
	Projection on Hilbert space generated by Y(t≤K)
XT	Stochastic process defined on T (time describes T)
p.o.i.	Process with orthogonal increments ...