On the Backward Interpolation Equations for the Jump Component of a Markov Process
Abstract
A Markov processes $(\theta_t,\nabla_t)$ with $\theta_t$ being a jump Markov process and $\nabla_t$ defined by the Ito equation (1) is considered. For the conditional probabilities$\pi_{\alpha}(t,\tau)$and$\pi_{\alpha\beta}(t,\tau)$the equation (3) and (4) are arived.The existence and uniqueness of a solution of the system (5) is proved.
Submission history
[v1] 1973