DocumentCode
434993
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
Volume
4
fYear
2004
fDate
14-17 Dec. 2004
Firstpage
4151
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2004. CDC. 43rd IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-8682-5
Type
conf
DOI
10.1109/CDC.2004.1429403
Filename
1429403
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