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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 3, Pages 589–600
DOI: https://doi.org/10.4213/tvp41 (Mi tvp41) 		 
This article is cited in 5 scientific papers (total in 5 papers)

Short Communications

Analysis of hidden Markov models states generated by special jump processes

A. V. Borisov

Institute for Problems of Informatics RAS
Full-text PDF (1414 kB) Citations (5)
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DOI: https://doi.org/10.4213/tvp41
Abstract: This paper investigates a class of stochastic differential systems with random structure, the transitions of which are generated by the special Markov jump processes. A statement concerning the Markovian property of the couple “jump process–governed diffusion” is presented. An analogue of the Fokker–Plank–Kolmogorov equation in the form of a system of partial integrodifferential equations, describing the evolution of the mutual transition probability of this couple, is derived.
Keywords: Markov jump process, transition probability, hidden Markov model, Fokker–Plank–Kolmogorov equation.
Received: 30.04.2004
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 3, Pages 518–528
DOI: https://doi.org/10.1137/S0040585X97982542
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: A. V. Borisov, “Analysis of hidden Markov models states generated by special jump processes”, Teor. Veroyatnost. i Primenen., 51:3 (2006), 589–600; Theory Probab. Appl., 51:3 (2007), 518–528
Citation in format AMSBIB
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    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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