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Systems & Control Letters
Volume 46, Issue 4, 23 July 2002, Pages 237-242
 
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doi:10.1016/S0167-6911(02)00120-2    How to Cite or Link Using DOI (Opens New Window)
Copyright © 2002 Elsevier Science B.V. All rights reserved.

Markovianity of a subset of components of a Markov process

P. I. KitsulCorresponding Author Contact Information, a, 1, R. S. Liptserb and A. P. Serebrovskic

a Department of Mathematics and Statistics, Minnesota State University, Mankato, MN 56001, USA b Department of Electrical Engineering, Tel Aviv University, Tel Aviv, Israel c Laboratory of Stochastic Dynamical Systems, Institute for Information Transmission Problems, Russian Academy of Sciences, Moscow, Russia

Received 10 October 2000; 
revised 27 January 2002. 
Available online 19 April 2002.

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Abstract

We consider the necessary and sufficient conditions for a group of the components of a stationary vector Gaussian Markov process to possess Markov property. The representation by a linear Itô stochastic differential equation is also given.

Author Keywords: Markov process; Stochastic realization; Forward and backward representations

Article Outline

1. Introduction
2. Auxiliary results
3. Markov property condition in terms of A,C,Q
4. Two sufficient conditions
5. Markov representation
6. Interpretation of sufficient conditions
References

Systems & Control Letters
Volume 46, Issue 4, 23 July 2002, Pages 237-242
 
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