Reverse time diffusions

DOI10.1016/0304-4149(85)90034-1MaRDI QIDQ1065459zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

quasimartingale with respect to the reverse time filtrationstochastic integraltime reversal

Mathematics Subject Classification ID

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

Review text

The paper considers a diffusion in \(R^ n\) which is given as the solution of a set of stochastic differential equations. 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 \(R^ n\). A key step in the proof is to show that the driving Brownian motion is a quasimartingale with respect to the reverse time filtration.

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Cited in

(17)

• Time reversal of infinite-dimensional diffusions
• Time reversal of diffusion processes with a boundary condition
• Backward representation for nonstationary Markov processes with finite state space
• Enlarged filtrations for diffusions
• Time-reversal in hyperbolic s. p. d. e. 's
• The Burgers equations and the Born rule
• scientific article; zbMATH DE number 3883353 (Why is no real title available?)
• scientific article; zbMATH DE number 3888637 (Why is no real title available?)
• scientific article; zbMATH DE number 4138894 (Why is no real title available?)
• scientific article; zbMATH DE number 3982184 (Why is no real title available?)
• Stochastic dynamical interpolation formula to time-reversible diffusion processes
• scientific article; zbMATH DE number 1337240 (Why is no real title available?)
• scientific article; zbMATH DE number 1867211 (Why is no real title available?)
• Continuous-time perpetuities and time reversal of diffusions
• Time reversed absorbing conditions
• A note on regime-switching Kolmogorov's forward and backward equations using stochastic flows
• Time reversal of infinite-dimensional point processes

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