BACKWARD NONLINEAR SMOOTHING DIFFUSIONS

Anderson, BDO; Bishop, AN; Del Moral, P; Palmier, C

Anderson, BDO (corresponding author), Australian Natl Univ, Res Sch Elect Energy & Mat Engn, Canberra, ACT, Australia.; Anderson, BDO (corresponding author), Hangzhou Dianzi Univ, Hangzhou, Peoples R China.; Anderson, BDO (corresponding author), Data61 CSIRO, Canberra, ACT, Australia.

THEORY OF PROBABILITY AND ITS APPLICATIONS, 2021; 66 (2): 245

Abstract

We present a backward diffusion flow (i.e., a backward-in-time stochastic differential equation) whose marginal distribution at any (earlier) time is ......

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