Reverse time diffusions (Q1065459)

The paper considers a diffusion in \(R^ n\) which is given as the solution of a set of stochastic differential equations. The stochastic differential equations giving the same process, but with the time parameter evolving in the negative direction, are obtained under a certain integrability hypothesis when the diffusion has a density function on a time varying submanifold of \(R^ n\). A key step in the proof is to show that the driving Brownian motion is a quasimartingale with respect to the reverse time filtration.