Stochastic Systems

Continuous discrete sliding extrapolation of markov processes

N. S. Demin

Tomsk

Abstract: The paper is concerned with extrapolation (prediction) with a constant interval for some components of a multidimensional diffusional Markov process from observation of another group of components and of a discrete-time random process. For one particular case an expression is found for the current amount of data.

UDC: 519.217


Received: 21.07.1980

 English version: Automation and Remote Control, 1981, 42:7, 909–917

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