Anna was at the train station and fell under the train.
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Anna decides to kill herself because she mistakenly believes it is the only escape from her unhappy life, specifically in regards to her marital and family woes. None of the viable options, i.e. fleeing, divorcing seem to offer her freedom. Only after it is too late, and she is already falling to her death, does she realize that she made a mistake.
Anna comes to the decision to end her life due to at the time she feels as if death is the only way she can escape the ordeal of her situation. She feels trapped. She is unable to seek solace or comfort from anyone resulting in her feeling alone and lost. The pain of being unable to see her son (due to dishonouring her husband by having an affair with a soldier) is to much to bare also the fact she was being publically disowned by those she considered 'friends' results in her taking her life. Anna at this point is unable to see any form of resolution, no possible avenues seem to offer her freedom, therefore she sees jumping to her death as the only way to end her suffering. Once she jumps she realises it is a mistake, however it is too late.