Markovian extensions and reductions of a family of σ -algebras

Jelena Bulatovic Gill

International Journal of Mathematics and Mathematical Sciences, 1984, vol. 7, 1-6

Abstract:

In the first part of this paper different properties of two special realizations of a stochastic dynamic system, as well as relationships between the realization problem and a problem derived from it are investigated. In the second part, solutions of the following two problems (that follow directly from the realization problem) are given: how to find the minimal (resp. maximal) markovlan flow of information (understood as a family of σ -algebras) that contains (resp. is contained in) given output of a system, and is such that each of these two flows of information is equally predictable by the other one.

Date: 1984
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jijmms:293678

DOI: 10.1155/S0161171284000582

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