Weber, Axel A. (contributor); Beck, Günter W. (contributor) - 2005
, equation (11) translates to
Ft+1 =
integraldisplay
A
P(x,A)Ft(dy). (12)
Here, A is any subset of the underlying state space for … Xt and P(x,A) denotes the
stochastic kernel that describes the probability that we will be in A in t + 1 given
that we … are currently in state x, i.e.,
P(x,A) = P(Xt+1 ∈ A|Xt = x). (13)
In the following analysis, we define the variable of …