Backward representation for nonstationary Markov processes with finite state space

• Published in: Systems & control letters Vol. 22; no. 6; pp. 445 - 450
• Main Authors: Di Masi, G.B., Kitsul, P.I.
• Format: Journal Article
• Language: English
• Published: Elsevier B.V 01.06.1994
• Subjects: backward stochastic differential equations; finite-state Markov process; forward and backward representations; Reverse-time processes; square-integrable martingales; forward and backward representations; Reverse-time processes; backward stochastic differential equations; square-integrable martingales; finite-state Markov process
• ISSN: 0167-6911; 1872-7956
• DOI: 10.1016/0167-6911(94)90088-4

We consider a problem of time reversal for a nonstationary continuous-time Markov processes with k states. The proposed approach is strongly based on the backward representation of the Gaussian analog of the original Markov process.