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

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)

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Cites work

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• Differential geometry and the calculus of variations
• On backward stochastic differential equations
• On the Stochastic Realization Problem
• Quasimartingales, martingales locales, semimartingales et filtration naturelle
• Reverse-time diffusion equation models
• Reverse-time diffusion processes (Corresp.)
• To reverse a Markov process

Cited in

(16)

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

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