Reverse-time diffusion processes (Corresp.)

DOI10.1109/TIT.1982.1056571MaRDI QIDQ4748925zbMATH OpenOpenAlexFDO

Authors 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

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

Cited in

(5)

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

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