Consider an Ito process $$dX_t = a(t,X_t)dt + b(t,X_t)dW_t.$$ Assume that the functions for drift and diffusion, $a$ and $b$ are continuous and differentiable. Also assume that we know the transition density $P(X_t|X_0)$. Is there a general way to formulate the reverse stochastic process and its transition density?
2026-04-12 07:43:07.1775979787
Transition density for reverse stochastic process
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