Backward Nonlinear Smoothing Diffusions

DOI10.1137/S0040585X97T99037XMaRDI QIDQ5005710zbMATH OpenOpenAlexFDO

Authors Adrian N. Bishop, Pierre Del Moral, C. Palmier, Brian D. O. Anderson

Publication date 10 August 2021

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.14511

zbMATH Keywords

backward Itô-Ventzell formulabackward stochastic integrationdiffusion equationsKalman-Bucy filternonlinear filtering and smoothingparticle filtering and smoothingRauch-Tung-Striebel smootherstochastic semigroupstime-reversed stochastic differential equationsZakai and Kushner-Stratonovich equations

Mathematics Subject Classification ID

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

Abstract: We present a backward diffusion flow (i.e. a backward-in-time stochastic differential equation) whose marginal distribution at any (earlier) time is equal to the smoothing distribution when the terminal state (at a latter time) is distributed according to the filtering distribution. This is a novel interpretation of the smoothing solution in terms of a nonlinear diffusion (stochastic) flow. This solution contrasts with, and complements, the (backward) deterministic flow of probability distributions (viz. a type of Kushner smoothing equation) studied in a number of prior works. A number of corollaries of our main result are given including a derivation of the time-reversal of a stochastic differential equation, and an immediate derivation of the classical Rauch-Tung-Striebel smoothing equations in the linear setting.

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