Before revision:  By modulating a multi-dimensional information process over a random point field, 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 dynamics, where the jumps are governed by information source switches.
After revision:  By modulating a multi-dimensional information process over a random point field, we explicitly relate the discovery of relevant new information sources to jumps in conditional expectation martingales. In the canonical Brownian random bridge case, we show that the underlying measure-valued process follows jump-diffusion dynamics, where the jumps are governed by information source switches.