Backward representation for nonstationary Markov processes with finite state space
Systems & Control Letters
Kalman filtering for linear systems with coefficients driven by a hidden Markov jump process
Systems & Control Letters
TCP in presence of bursty losses
Performance Evaluation - Special issue on internet performance modelling
Specific optimal estimation of special Markov jump processes
Automation and Remote Control
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The first part of this paper was devoted to a class of continuous-time jump processes generalizing the finite-state Markov processes. Main characteristics of this process such as the transition probabilities, infinitesimal generator, and so on were established. Processes of this class were proved to be solutions of linear differential equations with a martingale in the right-hand side. Stochastic analysis of a hidden Markov model of evolution of risky assets was presented as an example.