Reverse time diffusions

DOI10.1016/0304-4149(85)90034-1zbMath0577.60058OpenAlexW2058223172MaRDI QIDQ1065459

Brian D. O. Anderson, Robert J. Elliott

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90034-1

zbMATH Keywords

time reversalstochastic integralquasimartingale with respect to the reverse time filtration

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60)

Related Items (7)

Backward representation for nonstationary Markov processes with finite state space ⋮ The Burgers equations and the Born rule ⋮ Time reversal of diffusion processes with a boundary condition ⋮ Continuous-time perpetuities and time reversal of diffusions ⋮ A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows ⋮ Time reversal of infinite-dimensional point processes ⋮ Enlarged filtrations for diffusions

Cites Work

• Reverse-time diffusion equation models
• To reverse a Markov process
• Differential geometry and the calculus of variations
• On backward stochastic differential equations
• On the Stochastic Realization Problem
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• Reverse-time diffusion processes (Corresp.)
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