The Forward-reverse Method for Conditional Markov Processes

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户:laoyoutiao66
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  In this paper we derive stochastic representations for the finitedimensional distributions of a multidimensional Markov process on a fixed time interval,conditioned on the terminal state.The conditioning can be with respect to a fixed point or more generally with respect to some subset.
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