Interpolation equations for some classes of Markov processes. (English. Ukrainian original) Zbl 0943.60066

Voĭna, O. A.

Theory Probab. Math. Stat. 57, 19-31 (1998); translation from Teor. Jmovirn. Mat. Stat. 57, 18-30 (1997).

Conditional distribution is investigated of one component of jump Markov processes under the condition that the trajectory of a component is known. A differential equation for the conditional distribution is obtained. The analogous problem is considered for a jump process with independent increments in Markov random media.

Reviewer: A. V. Swishchuk (Kyïv)

MSC:

60J27	Continuous-time Markov processes on discrete state spaces
93E11	Filtering in stochastic control theory
62M05	Markov processes: estimation; hidden Markov models

Keywords:

interpolation; jump Markov processes