Markov bridges and enlarged filtrations

DOI10.2307/3315528zbMATH Open0739.60034OpenAlexW2069529574MaRDI QIDQ4710941FDOQ4710941

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

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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)

Cites Work

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

Cited In (4)

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

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