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Reverse time diffusions |
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| Authors: | Robert J. Elliott Brian D.O. Anderson |
| Affiliation: | Department of Pure Mathematics, University of Hull, Hull, HU6 7RX, EnglandUK;Department of Systems Engineering, Australian National University, Canberra A.C.T. 2601, Australia |
| Abstract: | The paper considers a diffusion evolving in n. 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 n. |
| Keywords: | diffusion stochastic differential equation Brownian motion time-reversedprocess Markov process Gaussian process transition density |
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