DRIVING NOISE OF A FINITE STATE MARKOV PROCESS
Nigel J. Cutland
Robert J. Elliott
Abstract: Given a finite state Markov process a global ”driving noise” process
is constructed on a larger probability space using non-standard analysis.
Following ideas suggested by Kunita , forward and backward equations related to the
Markov process are obtained.
2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;
Key words and phrases: -