The Extrapolation of Multidimensional Markov Processes from Incomplete Data

DOI10.1137/1113002MaRDI QIDQ5657451zbMATH OpenOpenAlexFDO

Authors Albert N. Shiryaev, R. 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) Prediction theory (aspects of stochastic processes) (60G25) Diffusion processes (60J60)

Cited in

(2)

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

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