Continuous-time Gauss-Markov processes with fixed reciprocal dynamics
Continuous-time Gauss-Markov processes with fixed reciprocal dynamics
复制标题
具有固定倒数动力学的连续时间高斯-马尔可夫过程
DOI：
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发表时间：
1997
期刊：
影响因子：
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通讯作者：
A. Beghi
中科院分区：
文献类型：
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作者：
A. Beghi
继续[11]中的工作，本文研究了具有固定倒易动力系统的Gauss-Markov过程的构造。本文给出了如何构造定义在有限区间上、具有固定的始点和终点密度、属于给定的倒易类的Gauss-Markov过程。改变马尔可夫过程的端点密度的问题，同时保持在相同的倒数类，也被认为是。一个随机解释的最优控制问题的结果。
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.