Reverse Time Differentiation and Smoothing Formulae for a Finite State Markov Process

Robert J. Elliott

doi:10.1214/aop/1176992527

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Home > Journals > Ann. Probab. > Volume 14 > Issue 2 > Article

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

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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

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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

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Vol.14 • No. 2 • April, 1986

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Robert J. Elliott "Reverse Time Differentiation and Smoothing Formulae for a Finite State Markov Process," The Annals of Probability, Ann. Probab. 14(2), 480-489, (April, 1986)

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