Reverse time diffusions

Robert J. Elliott; Brian D.O. Anderson

doi:10.1016/0304-4149(85)90034-1

Reverse time diffusions

Robert J. Elliott^*, Brian D.O. Anderson

^*Corresponding author for this work

School of Engineering

Research output: Contribution to journal › Article › peer-review

17 Citations (Scopus)

Abstract

The paper considers a diffusion evolving in Rⁿ. 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 Rⁿ.

Original language	English
Pages (from-to)	327-339
Number of pages	13
Journal	Stochastic Processes and their Applications
Volume	19
Issue number	2
DOIs	https://doi.org/10.1016/0304-4149(85)90034-1
Publication status	Published - Apr 1985

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10.1016/0304-4149(85)90034-1

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@article{f787c8db74e84c47a3bf13d3772071d1,

title = "Reverse time diffusions",

abstract = "The paper considers a diffusion evolving in Rn. 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 Rn.",

keywords = "Brownian motion, diffusion, Gaussian process, Markov process, stochastic differential equation, time-reversedprocess, transition density",

author = "Elliott, {Robert J.} and Anderson, {Brian D.O.}",

year = "1985",

month = apr,

doi = "10.1016/0304-4149(85)90034-1",

language = "English",

volume = "19",

pages = "327--339",

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publisher = "Elsevier B.V.",

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T1 - Reverse time diffusions

AU - Elliott, Robert J.

AU - Anderson, Brian D.O.

PY - 1985/4

Y1 - 1985/4

N2 - The paper considers a diffusion evolving in Rn. 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 Rn.

AB - The paper considers a diffusion evolving in Rn. 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 Rn.

KW - Brownian motion

KW - diffusion

KW - Gaussian process

KW - Markov process

KW - stochastic differential equation

KW - time-reversedprocess

KW - transition density

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U2 - 10.1016/0304-4149(85)90034-1

DO - 10.1016/0304-4149(85)90034-1

M3 - Article

AN - SCOPUS:45949128178

SN - 0304-4149

VL - 19

SP - 327

EP - 339

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 2

ER -

Reverse time diffusions

Abstract

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