Geodesic
Analysis of hidden Markov models states generated by special jump processes
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 589-600

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This paper investigates a class of stochastic differential systems with random structure, the transitions of which are generated by the special Markov jump processes. A statement concerning the Markovian property of the couple “jump process–governed diffusion” is presented. An analogue of the Fokker–Plank–Kolmogorov equation in the form of a system of partial integrodifferential equations, describing the evolution of the mutual transition probability of this couple, is derived.
Keywords: Markov jump process, transition probability, hidden Markov model, Fokker–Plank–Kolmogorov equation. 
@article{TVP_2006_51_3_a8,
     author = {A. V. Borisov},
     title = {Analysis of hidden {Markov} models states generated by special jump processes},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {589--600},
     publisher = {mathdoc},
     volume = {51},
     number = {3},
     year = {2006},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a8/}
}
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A. V. Borisov. Analysis of hidden Markov models states generated by special jump processes. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 3, pp. 589-600. http://geodesic.mathdoc.fr/item/TVP_2006_51_3_a8/