Diffusion processes on an open time interval and their time reversal

Masao Nagasawa and Thomas Domenig
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Masao Nagasawa: Universität Zürich, Institut für Mathematik
Thomas Domenig: Universität Zürich, Institut für Mathematik

A chapter in Itô’s Stochastic Calculus and Probability Theory, 1996, pp 261-280 from Springer

Abstract: Summary To discuss time reversal of (Schrödinger’s) diffusion processes, which are in general time-inhomogeneous, they must be defined on a closed time interval [a, b], −∞

Keywords: Brownian Motion; Diffusion Process; Stochastic Differential Equation; Closed Time Interval; Time Reversal (search for similar items in EconPapers)
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-68532-6_17

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DOI: 10.1007/978-4-431-68532-6_17

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