Brownian time reversal on a finite interval
ID: brownian-time-reversal-on-a-finite-interval
For standard Brownian motion and deterministic , the process , , is standard Brownian motion on that interval in its own natural filtration. Disjoint reversed time intervals give independent centered normal increments with the correct variances. This is different from an arbitrary random-time shift, which can depend on future data. It is also different from the time inversion of Brownian motion transformation .
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