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.
Publié le : 1986-04-14
Classification:
Filtering,
smoothing,
backward Ito and Stratonovich integral,
stochastic partial differential equation,
93E14,
60H05,
93C10,
60H15,
60C35
@article{1176992527,
author = {Elliott, Robert J.},
title = {Reverse Time Differentiation and Smoothing Formulae for a Finite State Markov Process},
journal = {Ann. Probab.},
volume = {14},
number = {4},
year = {1986},
pages = { 480-489},
language = {en},
url = {http://dml.mathdoc.fr/item/1176992527}
}
Elliott, Robert J. Reverse Time Differentiation and Smoothing Formulae for a Finite State Markov Process. Ann. Probab., Tome 14 (1986) no. 4, pp. 480-489. http://gdmltest.u-ga.fr/item/1176992527/