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Markovian extensions and reductions of a family of σ -algebras

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  • Jelena Bulatovic Gill

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.

Suggested Citation

  • Jelena Bulatovic Gill, 1984. "Markovian extensions and reductions of a family of σ -algebras," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 7, pages 1-6, January.
    • Handle: RePEc:hin:jijmms:293678
    DOI: 10.1155/S0161171284000582
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