Reverse time diffusions

DOI10.1016/0304-4149(85)90034-1zbMATH Open0577.60058OpenAlexW2058223172MaRDI QIDQ1065459FDOQ1065459

Authors: Robert J. Elliott, Brian D. O. Anderson 

Publication date: 1985

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

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90034-1

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zbMATH Keywords

time reversalstochastic integralquasimartingale with respect to the reverse time filtration

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• On backward stochastic differential equations
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• Title not available (Why is that?)
• Reverse-time diffusion equation models
• Reverse-time diffusion processes (Corresp.)
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• On the Stochastic Realization Problem
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• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• To reverse a Markov process
• Differential geometry and the calculus of variations
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Cited In (16)

• Time reversed absorbing conditions
• Time reversal of infinite-dimensional point processes
• Title not available (Why is that?)
• The Burgers equations and the Born rule
• Title not available (Why is that?)
• Time reversal of diffusion processes with a boundary condition
• Time reversal of infinite-dimensional diffusions
• Title not available (Why is that?)
• Backward representation for nonstationary Markov processes with finite state space
• Title not available (Why is that?)
• Title not available (Why is that?)
• Enlarged filtrations for diffusions
• Continuous-time perpetuities and time reversal of diffusions
• Stochastic dynamical interpolation formula to time-reversible diffusion processes
• Time-reversal in hyperbolic s. p. d. e. 's
• A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows

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