Cited by 565Stochastic processes and statistical mechanicsStochastic processes and financial applicationsDifferential Equations and Boundary Problems

Reverse-time diffusion equation models

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Anderson, Brian D.O.·1982·Stochastic Processes and their Applications

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Crossref · 10.1016/0304-4149(82)90051-5

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19 of 19 references verified0 citation errors · 0 not checkable

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  • Anderson showed that any diffusion process in the form of Equation (15) can be reversed by solving the reverse-time SDE in Equation (18).

    “Crucially, for any diffusion process in the form of Equation (15), Anderson [4] shows that it can be reversed by solving the following reverse-time SDE:”

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Research works printed but not linked: 1

  1. H.P. McKean, :Stochastic Integrals (Academic Press, New York, 1969).

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Authors
Anderson, B. D. O.
Affiliations
University of Newcastle Australia (AU)
Corresponding author
Anderson, Brian D.O.
Venue
Stochastic Processes and their Applications
Publisher
Elsevier BV
Published
1982-05
Volume
12
Issue
3
Pages
313-326
ISSN
0304-4149 (ISSN-L)
OpenAlex
W1991111872
Cited by
565
References
19
Citations by year
2026: 85 · 2025: 200 · 2024: 138 · 2023: 55 · 2022: 18 · 2021: 26 · 2020: 3 · 2019: 2 · 2018: 1 · 2017: 2 · 2016: 3 · 2014: 1
FWCI
1.78
Type
journal article
Language
en
Open access
Locations
  • Stochastic Processes and their Applications (publishedVersion)
  • RePEc: Research Papers in Economics (submittedVersion)
Topics
  • Physical Sciences › Mathematics › Mathematical Physics › Stochastic processes and statistical mechanics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Stochastic processes and financial applications
  • Physical Sciences › Mathematics › Applied Mathematics › Differential Equations and Boundary Problems
Keywords
stochastic diffusion equation, time reversal, diffusion

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