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Analysis and Filtration of Special Discrete-Time Markov Processes. I. Martingale Representation

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Abstract

Part I is devoted to a class of discrete-time processes that are the generalization of Markov chains with a finite or denumerable number of states. Their transition probabilities, martingale representations in forward and backward time, the stochastic measures they generate are studied.

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Authors and Affiliations

  1. Institute of Informatics Problems, Russian Academy of Sciences, Moscow, Russia

    A. V. Borisov

  2. Moscow Aviation Institute, Moscow, Russia

    G. B. Miller

Authors
  1. A. V. Borisov
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  2. G. B. Miller
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__________

Translated from Avtomatika i Telemekhanika, No. 6, 2005, pp. 114–125.

Original Russian Text Copyright © 2005 by Borisov, Miller.

This work was supported by INTAS, project no. YSF 04-83-3623.

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Borisov, A.V., Miller, G.B. Analysis and Filtration of Special Discrete-Time Markov Processes. I. Martingale Representation. Autom Remote Control 66, 953–962 (2005). https://doi.org/10.1007/s10513-005-0138-6

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  • DOI: https://doi.org/10.1007/s10513-005-0138-6

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