| Abstract: | In this paper we construct a first solution of the stochastic realization problem in a nonlinear setting. The great bulk of previous work on stochastic realization has been in the linear Gaussian setting. Such Markovian representations are used e.g., to apply certain filtering and stochastic control techniques. Our methods consist of an amalgamation of methods introduced by Nelson with the Lax-Phillips type geometric approach to linear Gaussian stochastic realization which has been developed by Lindquist and Picci and by Ruckebusch. The result of this that we are able to realize any purely nondeterministic process satisfying suitable continuity conditions as an instantaneous function of a Markov process. |
