This paper considers a new mixture of time homogeneous finite Markov chains where the mixing is on the rate of movement and develops the EM algorithm for the maximum likelihood estimation of the parameters of the mixture. A continuous and discrete time versions of the mixture are defined and...

We consider the process dYt = ut dt + dWt , where u is a processnot necessarily adapted to F Y (the filtration generated by the process Y)and W is a Brownian motion. We obtain a general representation for thelikelihood ratio of the law of the Y process relative to Brownian measure.This...