Created: August 27, 2022
Modified: August 27, 2022
Modified: August 27, 2022
reverse diffusion
This page is from my personal notes, and has not been specifically reviewed for public consumption. It might be incomplete, wrong, outdated, or stupid. Caveat lector.References:
- Ludwig Winkler's post on Reverse time stochastic differential equations.
Suppose we have a stochastic differential equation in the form
aka a Itô process.