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)

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Cites Work

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• 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

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