Title :
From piecewise deterministic to piecewise diffusion Markov processes
Author_Institution :
Dept. of ESE, Connecticut Univ., CT, USA
Abstract :
The author presents PD (piecewise deterministic) processes as pathwise unique solutions of an Ito stochastic differential equation (SDE), driven by a Poisson random measure. Since such an SDE permits the inclusion of diffusion, this approach leads to a large variety of piecewise diffusion Markov processes, represented by pathwise unique SDE solutions
Keywords :
Markov processes; differential equations; diffusion; Ito stochastic differential equation; Poisson random measure; pathwise unique solutions; piecewise deterministic processes; piecewise diffusion Markov processes; Differential equations; Markov processes; Motion measurement; Process control; State-space methods; Stochastic processes; Stochastic systems;
Conference_Titel :
Decision and Control, 1988., Proceedings of the 27th IEEE Conference on
Conference_Location :
Austin, TX
DOI :
10.1109/CDC.1988.194679
