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 Cet article a éte moissonné depuis la source Math-Net.Ru

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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. 
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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/

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