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Reverse time diffusions

Author

Listed:
  • Elliott, Robert J.
  • Anderson, Brian D. O.

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.

Suggested Citation

  • Elliott, Robert J. & Anderson, Brian D. O., 1985. "Reverse time diffusions," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 327-339, April.
  • Handle: RePEc:eee:spapps:v:19:y:1985:i:2:p:327-339
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    Cited by:

    1. Prodanov, Dimiter, 2021. "The Burgers equations and the Born rule," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    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. 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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