Markov process representations of general stochastic processes
Abstract: In this paper we show that any separable stochastic process on a compact metric space can be derived from a temporally homogeneous Markov process on the extreme points of a compact convex set of measures.
-  Nelson Dunford and Jacob T. Schwartz, Linear Operators. I. General Theory, With the assistance of W. G. Bade and R. G. Bartle. Pure and Applied Mathematics, Vol. 7, Interscience Publishers, Inc., New York; Interscience Publishers, Ltd., London, 1958. MR 0117523
-  Paul-A. Meyer, Probability and potentials, Blaisdell Publishing Co. Ginn and Co., Waltham, Mass.-Toronto, Ont.-London, 1966. MR 0205288
Retrieve articles in Proceedings of the American Mathematical Society with MSC: 60.62
Retrieve articles in all journals with MSC: 60.62
Keywords: Stochastic process, temporally homogeneous Markov process, extreme points, Choquet's Theorem
Article copyright: © Copyright 1970 American Mathematical Society