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.
Continuous-time Gauss-Markov processes with fixed reciprocal dynamics
BEGHI, ALESSANDRO
1997
Abstract
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.File in questo prodotto:
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