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Avtomatika i Telemekhanika, 2004, Issue 1, Pages 50–65 (Mi at1502)  
This article is cited in 11 scientific papers (total in 11 papers)

Stochastic Systems

Analysis and estimation of the states of special Markov jump processes. I. A martingale representation

A. V. Borisovab

a Institute for Problems of Informatics RAS
b Moscow Aviation Institute (State University of Aerospace Technologies)
Full-text PDF (248 kB) Citations (11)
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Abstract: The first part of this paper was devoted to a class of continuous-time jump processes generalizing the finite-state Markov processes. Main characteristics of this process such as the transition probabilities, infinitesimal generator, and so on were established. Processes of this class were proved to be solutions of linear differential equations with a martingale in the right-hand side. Stochastic analysis of a hidden Markov model of evolution of risky assets was presented as an example.
Presented by the member of Editorial Board: B. M. Miller

Received: 01.07.2003
English version:
Automation and Remote Control, 2004, Volume 65, Issue 1, Pages 44–57
DOI: https://doi.org/10.1023/B:AURC.0000011689.11915.24
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Borisov, “Analysis and estimation of the states of special Markov jump processes. I. A martingale representation”, Avtomat. i Telemekh., 2004, no. 1, 50–65; Autom. Remote Control, 65:1 (2004), 44–57
Citation in format AMSBIB
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    Cycle of papers
    This publication is cited in the following 11 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    References:34
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