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Backward representation for nonstationary Markov processes with finite state space |
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| Authors: | G. B. Di Masi P. I. Kitsul |
| Affiliation: | Dipartimento di Matematica Pura ed Applicata, Università di Padova and LADSEB-CNR, Via Belzoni 7-35131, Padova, Italy Institute for the Problems of Information Transmission, Russian Academy of Sciences, Ermolovoy 19-101447, Moscow, Russia |
| Abstract: | 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. |
| Keywords: | Reverse-time processes forward and backward representations backward stochastic differential equations finite-state Markov process square-integrable martingales |
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