Markov Processes with Fixed Reciprocal
نویسنده
چکیده
Continuing the work started in 11], in this paper we examine the construction of Gauss-Markov processes with xed reciprocal dynamics. We show how to construct Gauss-Markov processes, de-ned on a nite interval, having xed initial and end-point densities and belonging to a given reciprocal class. The problem of changing the end-point density of a Markov process, while remaining in the same reciprocal class, is also considered. A stochastic interpretation of the results in terms of an optimal control problem is given.
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Discrete - time Gauss - Markov Processes with Fixed Reciprocal Dynamics
Motivated by a problem considered earlier by Schrodinger [1]{[2], Jamison [3]{[4] and others, we examine in this paper the construction of Gauss-Markov processes with xed reciprocal dynamics. Given the class of reciprocal processes speci ed by a second-order model, a procedure is described for constructing a Markov process in the class with preassigned marginal probability densities at the end...
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