BACKWARD REPRESENTATION FOR NONSTATIONARY MARKOV-PROCESSES WITH FINITE-STATE SPACE

被引：5

作者：

DIMASI, GB

KITSUL, PI

机构：

[1] UNIV PADUA,DIPARTIMENTO MATEMAT PURA & APPLICATA,I-35131 PADUA,ITALY

[2] CNR,LADSEB,I-35131 PADUA,ITALY

[3] RUSSIAN ACAD SCI,INST PROBLEMS INFORMAT TRANSMISS,MOSCOW 101447,RUSSIA

来源：

SYSTEMS & CONTROL LETTERS | 1994年 / 22卷 / 06期

关键词：

REVERSE-TIME PROCESSES; FORWARD AND BACKWARD REPRESENTATIONS; BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; FINITE-STATE MARKOV PROCESS; SQUARE-INTEGRABLE MARTINGALES;

D O I：

10.1016/0167-6911(94)90088-4

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We consider a problem of time reversal for a nonstationary continuous-time Markov processes with k states. The proposed approach is strongly based on the backward representation of the Gaussian analog of the original Markov process.

引用

页码：445 / 450

页数：6

共 8 条

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ELLIOTT, RJ
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[6] KITSUL PI, 1989, AUTOMAT REM CONTR+, V50, P340
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[8] LIPTSER RS, 1985, STAT CONTROL STOCHAS, P305

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