Reverse time diffusions

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.

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Year of publication:	1985
Authors:	Elliott, Robert J. ; Anderson, Brian D. O.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 19.1985, 2, p. 327-339
Publisher:	Elsevier
Keywords:	diffusion stochastic differential equation Brownian motion time-reversedprocess Markov process Gaussian process transition density

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875572