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Reverse-time Markov processes (Corresp.)

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1 Author(s)

The problem of representing a Markov process as a reverse-time Markov process is discussed. Diffusions and finite-state Markov processes are two important classes of Markov processes for which this problem has been considered. A gap in a paper of Castanon is pointed out which discusses diffusions; reverse-time finite and discrete-state Markov processes are then considered using martingale methods.

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Information Theory, IEEE Transactions on  (Volume:32 ,  Issue: 2 )