Reverse time differentiation and smoothing formulae for a finite state Markov process

DOI10.1214/aop/1176992527zbMath0595.60045OpenAlexW1976955495MaRDI QIDQ1077814

Robert J. Elliott

Publication date: 1986

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176992527

zbMATH Keywords

smoothingfilteringPoisson point processbackward Itô and Stratonovich integralreverse-time stochastic differential equation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Nonlinear systems in control theory (93C10) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)