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Automation and Remote Control

, Volume 65, Issue 1, pp 44–57 | Cite as

Analysis and Estimation of the States of Special Jump Markov Processes. I. Martingale Representation

  • A. V. Borisov
Article

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.

Keywords

Differential Equation Mechanical Engineer System Theory Markov Model Hide Markov Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© MAIK “Nauka/Interperiodica” 2004

Authors and Affiliations

  • A. V. Borisov
    • 1
    • 2
  1. 1.Institute of Informatics ProblemsRussian Academy of SciencesMoscowRussia
  2. 2.Moscow Aviation InstituteMoscowRussia

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