Maximal Independent Stochastic Processes

The new maximal measures for stochastic processes

In recent work the author proposed a reformed notion of stochastic processes, which in particular removes notorious problems with uncountable time domains. In case of a Polish state space the new stochastic processes are in one-to-one correspondence with the traditional ones. This implies for a stochastic process that the traditional canonical measure on the path space receives a certain distin...

Constructing Stochastic Pyramids by MIDES - Maximal Independent Directed Edge Set

Constrained cost-coupled stochastic games with independent state processes

We consider a non-cooperative constrained stochastic games with N players with the following special structure. With each player i there is an associated controlled Markov chain MDPi. The transition probabilities of the ith Markov chain depend only on the state and actions of controller i. The information structure that we consider is such that each player knows the state of its own MDP and its...

Independent Component Analysis for Time-dependent Stochastic Processes

The problem of linearly decomposing stochastic processes into 'indepen-dent' component processes is addressed. In contrast to ordinary independent component analysis, the time structure of the components is taken into account. It is shown that the data model of independent component analysis is identiiable if the innovation processes of the latent components (source signals) are independent. Th...

Zero-sum constrained stochastic games with independent state processes

We consider a zero-sum stochastic game with side constraints for both players with a special structure. There are two independent controlled Markov chains, one for each player. The transition probabilities of the chain associated with a player as well as the related side constraints depend only on the actions of the corresponding player; the side constraints also depend on the player’s controll...