VI: 09, 109-112, LNM 258 (1972)
SAM LAZARO, José de;
MEYER, Paul-André
Un gros processus de Markov. Application à certains flots (
Markov processes)
In a vague but useful sense, a ``big'' process over a given process consists of random variables whose values are a part of the path of the original process (the best known example is the excursion process). Here it is shown how the past of a Markov process can be turned into a big (homogeneous) Markov process, and how its semigroup is computed using an idea of Dawson (
Trans. Amer. Math. Soc.,
131, 1968)
Comment: For a complete account of Dawson's formula, see Dellacherie-Meyer,
Probabilités et Potentiel, \no XIV.45
Keywords: Prediction theory,
Filtered flowsNature: Original
Retrieve article from Numdam
