Reverse-time diffusion equation models

DOI10.1016/0304-4149(82)90051-5zbMath0489.60065OpenAlexW1991111872MaRDI QIDQ1166836

Brian D. O. Anderson

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1016/0304-4149(82)90051-5

zbMATH Keywords

Fokker-Planck equationsKolmogorov equationsdiffusion equationsreverse-time equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Markov processes (60J99)

Related Items

Time reversal of infinite-dimensional diffusions, The Burgers equations and the Born rule, Nonlinear smoothing algorithms using white noise model, Time reversal for infinite-dimensional diffusions, Backward representation of Markov jump processes and related problems. I. Optimal linear estimation, Mathematical imaging and surface processing. Abstracts from the workshop held August 21--27, 2022, Port properties of nonlinear reciprocal networks, Information thermodynamics for interacting stochastic systems without bipartite structure, Continuous-time perpetuities and time reversal of diffusions, A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows, Uncertain chemical reaction equation, Smoothing algorithms for nonlinear finite-dimensional systems, Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities, Reverse-time modeling, optimal control and large deviations, Backward Nonlinear Smoothing Diffusions, Reverse time diffusions, Forward and backward semimartingale models for gaussian processes with stationary increments

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Passive network synthesis via dual spectral factorization
• A stochastic realization approach to the smoothing problem
• On the Stochastic Realization Problem
• Forwards, backwards, and dynamically reversible Markovian models of second-order processes
• Nonlinear networks and Onsager-Casimir reversibility
• New smoothing algorithms based on reversed-time lumped models
• Backwards Markovian models for second-order stochastic processes (Corresp.)
• General backwards Markov models
• Fixed interval smoothing for nonlinear continuous time systems