Reverse-time diffusion processes (Corresp.)

DOI10.1109/TIT.1982.1056571zbMath0511.60053OpenAlexW2005893356MaRDI QIDQ4748925

David A. Castanon

Publication date: 1982

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.1982.1056571

zbMATH Keywords

reverse-time Markovian modelstochastic differential equation in reverse time

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (5)

Continuous-time perpetuities and time reversal of diffusions ⋮ A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows ⋮ Filterlng of hidden diffusion processes ⋮ Interpolation for partly hidden diffusion processes ⋮ Reverse time diffusions

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