DocumentCode :
935480
Title :
Reverse-time diffusion processes (Corresp.)
Author :
Castanon, David A.
Volume :
28
Issue :
6
fYear :
1982
fDate :
11/1/1982 12:00:00 AM
Firstpage :
953
Lastpage :
956
Abstract :
Given a diffusion process on 
described by a stochastic differential equation forward in time, we develop a corresponding stochastic differential equation in reverse time which yields the same sample paths. This stochastic differential equation can be used in problems of estimation and smoothing.
described by a stochastic differential equation forward in time, we develop a corresponding stochastic differential equation in reverse time which yields the same sample paths. This stochastic differential equation can be used in problems of estimation and smoothing.Keywords :
Markov processes; Stochastic differential equations; Differential equations; Diffusion processes; Indium tin oxide; Integral equations; Probability distribution; Signal processing; Smoothing methods; Statistics; Stochastic processes; US Department of Energy;
fLanguage :
English
Journal_Title :
Information Theory, IEEE Transactions on
Publisher :
ieee
ISSN :
0018-9448
Type :
jour
DOI :
10.1109/TIT.1982.1056571
Filename :
1056571
Link To Document :
