Evaluation of likelihood functions

An expression is obtained for the likelihood function for the detection of a stochastic signal (diffusion process) in white noise. A stochastic differential equation is then obtained for the evolution of the likelihood function and the coefficients of this differential equation are related to a corresponding nonlinear filtering problem. Some extensions are noted to diffusion process signals in correlated noise and to more general stochastic signals.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/33137/1/0000523.pd