Part of the Stochastic Modelling and Applied Probability book series (SMAP, volume 60)
In Section 3.5 we analyzed the case when X is a Markov process with finite state space I and associated Q-matrix Q (see Exercise 3.27).
KeywordsConditional Distribution Multivariate Normal Distribution Local Martingale Dimensional Brownian Motion Zakai Equation
Unable to display preview. Download preview PDF.
© Springer Science+Business Media, LLC 2009