Affiliation:
1. Department of Statistics and Probability, Michigan State University, East Lansing 48824, Michigan, USA
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 ofσ-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.
Subject
Mathematics (miscellaneous)
Cited by
3 articles.
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1. Stochastic Realization;Communications and Control Engineering;2021
2. Markovian extensions of a stochastic process;Statistics & Probability Letters;2008-04
3. Causality and Stochastic Dynamic Systems;SIAM Journal on Applied Mathematics;1987-12