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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 10, Fasc. 1,
pages 65 - 74
 

DRIVING NOISE OF A FINITE STATE MARKOV PROCESS

Nigel J. Cutland
Robert J. Elliott

Abstract: Given a finite state Markov process (X ),
   t t > 0, a global ”driving noise” process is constructed on a larger probability space using non-standard analysis.

Following ideas suggested by Kunita [3], forward and backward equations related to the Markov process are obtained.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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