Markovianity of a subset of components of a Markov process

DOI10.1016/S0167-6911(02)00120-2zbMath0998.60077MaRDI QIDQ1603623

P. I. Kitsul, A. P. Serebrovskij, Robert Sh. Liptser

Publication date: 15 July 2002

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

zbMATH Keywords

Markov processstochastic realizationGaussian Markov processforward and backward representationslinear Itô stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuous-time Markov processes on discrete state spaces (60J27)

Cites Work

• Unnamed Item
• Unnamed Item
• Regression and the Moore-Penrose pseudoinverse
• Realization Theory for Multivariate Stationary Gaussian Processes
• 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: Markovianity of a subset of components of a Markov process