Reverse time diffusions
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Elliott, Robert J.
Anderson, Brian D.O.
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Abstract
The paper considers a diffusion evolving in Rn. 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 Rn.
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Stochastic Processes and their Applications
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