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On time-reversibility of linear stochastic models


Reversal of the time direction in stochastic systems driven by white noise has been of central importance throughout the development of stochastic realization theory, filtering and smoothing. Similarly, in connection with certain problems in the theory of moments, the duality induced by time reversal was the key to deriving a compact parametrization and an interpretation of solutions. By combining ideas from these two lines of development we present herein a general view and a simplified account of time-reversal in stochastic models.

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