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Time Reversions of Markov Processes

Published online by Cambridge University Press:  22 January 2016

Masao Nagasawa
Masao Nagasawa*
Affiliation:
Mathematical Institute, Nagoya University
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A time reversion of a Markov process was discussed by Kolmogoroff for Markov chains in 1936 [6] and for a diffusion in 1937 [7l He described it as a process having an adjoint transition probability. Although his treatment is purely analytical, in his case if the process xt has an invariant distribution, the reversed process zt = x-t is the process with the adjoint transition probability. In this discussion, however, it is very restrictive that the initial distribution of the process must be an invariant measure.

Type
Research Article
Information
Nagoya Mathematical Journal , Volume 24 , June 1964 , pp. 177 - 204
Copyright
Copyright © Editorial Board of Nagoya Mathematical Journal 1964

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