Backward representation of Markov jump processes and related problems. I. Optimal linear estimation
From MaRDI portal
Publication:885730
DOI10.1134/S0005117906080042zbMath1194.60051MaRDI QIDQ885730
Publication date: 14 June 2007
Published in: Automation and Remote Control (Search for Journal in Brave)
62M05: Markov processes: estimation; hidden Markov models
93E10: Estimation and detection in stochastic control theory
Cites Work
- Unnamed Item
- Unnamed Item
- Zero-sum stochastic differential games and backward equations
- Reverse-time diffusion equation models
- Backward representation for nonstationary Markov processes with finite state space
- Filtering of a Markov jump process with counting observations
- Backward stochastic differential equations and applications to optimal control
- Reverse-time Markov processes (Corresp.)
- On the Stochastic Realization Problem
- On the fixed-interval smoothing problem
- Backwards Markovian models for second-order stochastic processes (Corresp.)
- General backwards Markov models
- Backward Stochastic Differential Equations in Finance