Title :
Fokker-Planck like equation for hidden Markov models governed by special jump processes
Author :
Borisov, Andrey V.
Author_Institution :
Inst. of Informatics Problems, Acad. of Sci., Moscow, Russia
Abstract :
The paper introduces a set of hidden Markov models (HMM), driven by a special class of Markov jump processes (Borisov, 2004). The Markovian property for the couple "jump process-governed diffusion" is proved. A system of corresponding integro-differential Fokker-Planck type equations for the transition probability is derived. Analysis and special cases of this system such as the classic HMM and systems with one jump are also considered.
Keywords :
Fokker-Planck equation; hidden Markov models; probability; stochastic systems; Fokker-Planck like equation; hidden Markov models; integro differential Fokker-Planck type equation; jump process-governed diffusion; special jump processes; transition probability; Communication system control; Diffusion processes; Finance; Hidden Markov models; Integrodifferential equations; Markov processes; Mutual coupling; Partial differential equations; Probability density function; State-space methods;
Conference_Titel :
Decision and Control, 2004. CDC. 43rd IEEE Conference on
Print_ISBN :
0-7803-8682-5
DOI :
10.1109/CDC.2004.1429403
