Markov bridges and enlarged filtrations

DOI10.2307/3315528zbMath0739.60034OpenAlexW2069529574MaRDI QIDQ4710941

Robert J. Elliott, Ata N. Al-Hussaini

Publication date: 25 June 1992

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315528

zbMATH Keywords

Markov bridgesenalrged filtrationsrepresentation as a semimartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows ⋮ Time-like Graphical Models

Cites Work

• Reverse-time Markov processes (Corresp.)
• Reciprocal processes

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