Before revision:  In a novel approach , we explicitly relate the discovery of relevant new information sources to jumps in the conditional expectation process of a partially observed signal. We derive the resulting endogenous jump-diffusion , and show that it is a solution to the stochastic filtering problem associated with the Markov-modulated multivariate information process .
After revision:  In a novel approach , we explicitly relate the discovery of relevant new information sources to jumps in conditional expectation processes of partially observed signals. We show that the underlying measure-valued process follows jump-diffusion , and show that it is a solution to the stochastic filtering problem associated with the Markov-modulated multivariate information process .