Markov bridges and enlarged filtrations

DOI10.2307/3315528MaRDI QIDQ4710941zbMATH OpenOpenAlexFDO

Authors Robert J. Elliott, Ata N. Al-Hussaini

Publication date 25 June 1992

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3315528

zbMATH Keywords

Markov bridgesenalrged filtrationsrepresentation as a semimartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• Reciprocal processes
• Reverse-time Markov processes (Corresp.)

Cited in

(4)

• Markovian bridges: weak continuity and pathwise constructions
• Markov bridges: SDE representation
• Time-like Graphical Models
• A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

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