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April, 1986 Reverse Time Differentiation and Smoothing Formulae for a Finite State Markov Process
Robert J. Elliott
Ann. Probab. 14(2): 480-489 (April, 1986). DOI: 10.1214/aop/1176992527

Abstract

The paper investigates the reverse time differentiation of a stochastic exponential that occurs in smoothing, when the signal is a finite state Markov process and the observation process is a diffusion.

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Robert J. Elliott. "Reverse Time Differentiation and Smoothing Formulae for a Finite State Markov Process." Ann. Probab. 14 (2) 480 - 489, April, 1986. https://doi.org/10.1214/aop/1176992527

Information

Published: April, 1986
First available in Project Euclid: 19 April 2007

zbMATH: 0595.60045
MathSciNet: MR832020
Digital Object Identifier: 10.1214/aop/1176992527

Subjects:
Primary: 93E14
Secondary: 60C35 , 60H05 , 60H15 , 93C10

Keywords: backward Ito and Stratonovich integral , Filtering , smoothing , Stochastic partial differential equation

Rights: Copyright © 1986 Institute of Mathematical Statistics

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Vol.14 • No. 2 • April, 1986
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