Backward representation for nonstationary Markov processes with finite state space

DOI10.1016/0167-6911(94)90088-4zbMath0814.60068OpenAlexW2139351919MaRDI QIDQ1329779

P. I. Kitsul, Giovanni B. Di Masi

Publication date: 20 September 1994

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6911(94)90088-4

zbMATH Keywords

Markov processtime reversalsquare integrable martingalesforward and backward representations

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Related Items (3)

Backward representation of Markov jump processes and related problems. I. Optimal linear estimation ⋮ Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process ⋮ Analysis and filtration of special discrete-time Markov processes. I: Martingale representation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Solution of the singular backward interpolation problem for diffusion processes
• Time reversal of non-Markov point processes
• Reverse time diffusions
• To reverse a Markov process
• On backward stochastic differential equations
• A stochastic realization approach to the smoothing problem
• Minimal dimension linear filters for stationary Markov processes with finite state space

This page was built for publication: Backward representation for nonstationary Markov processes with finite state space