The Extrapolation of Multidimensional Markov Processes from Incomplete Data

DOI10.1137/1113002zbMath0245.60038OpenAlexW1975150257MaRDI QIDQ5657451

Albert N. Shiryaev, Robert Sh. Liptser

Publication date: 1968

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/1113002

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Prediction theory (aspects of stochastic processes) (60G25)

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A method for efficient computation of optimal estimates in the extrapolation of solutions of nonlinear evolutionary differential equations in a Hilbert space. I ⋮ Prediction and smoothing for partially observed Markov chains

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