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On the drift of a reversed diffusion

Stochastic Equations, Diffusions
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 69)

Keywords

Cauchy Problem Maximum Principle Classical Solution Time Reversal Standard Brownian Motion 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. [1]
    W.H. Fleming, R.W. Rishel, Deterministic and Stochastic Optimal Control, Springer-Verlag, New York, 1975.Google Scholar
  2. [2]
    A. Friedman, Stochastic Differential Equations and Applications, Academic Press, New York 1975.Google Scholar
  3. [3]
    U.G. Haussmann, E. Pardoux, Time reversal of diffusions, these proceedings.Google Scholar
  4. [4]
    O.A. Ladyzenskaja, V.A. Solonnikov, N.N. Ural'ceva, Linear and Quasilinear Equations of Parabolic Type, A.M.S., Providence, R.I. 1968.Google Scholar
  5. [5]
    E. Pardoux, Time reversal of diffusion processes and non-linear smoothing, Proc. Twente Workshop on Systems and Optimization, to appear in Lecture Notes in Control and Information Sciences, Springer-Verlag.Google Scholar

Copyright information

© Springer-Verlag 1985

Authors and Affiliations

  1. 1.Mathematics DepartmentUniversity of British ColumbiaVancouverCanada

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