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Reverse-time diffusion equation models

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  • Anderson, Brian D.O.

Abstract

Reverse-time stochastic diffusion equation models are defined and it is shown how most processes defined via a forward-time or conventional diffusion equation model have an associated reverse-time model.

Suggested Citation

  • Anderson, Brian D.O., 1982. "Reverse-time diffusion equation models," Stochastic Processes and their Applications, Elsevier, vol. 12(3), pages 313-326, May.
    • Handle: RePEc:eee:spapps:v:12:y:1982:i:3:p:313-326
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    Cited by:

    1. Hansen, Lars Peter & Scheinkman, Jose Alexandre, 1995. "Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes," Econometrica, Econometric Society, vol. 63(4), pages 767-804, July.
    2. Kardaras, Constantinos & Robertson, Scott, 2017. "Continuous-time perpetuities and time reversal of diffusions," LSE Research Online Documents on Economics 67495, London School of Economics and Political Science, LSE Library.
    3. T. Pellegrino & P. Sabino, 2015. "Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 761-772, May.
    4. Tang, Han & Yang, Xiangfeng, 2021. "Uncertain chemical reaction equation," Applied Mathematics and Computation, Elsevier, vol. 411(C).
    5. Constantinos Kardaras & Scott Robertson, 2017. "Continuous-time perpetuities and time reversal of diffusions," Finance and Stochastics, Springer, vol. 21(1), pages 65-110, January.

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