Duality formula for the bridges of a Brownian diffusion : application to gradient drifts
- In this paper, we consider families of time Markov fields (or reciprocal classes) which have the same bridges as a Brownian diffusion. We characterize each class as the set of solutions of an integration by parts formula on the space of continuous paths C[0; 1]; R-d) Our techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogorov.
| Verfasserangaben: | Sylvie RoellyGND, Michèle Thieullen |
|---|---|
| URN: | urn:nbn:de:kobv:517-opus-6710 |
| Publikationstyp: | Postprint |
| Sprache: | Englisch |
| Erscheinungsjahr: | 2005 |
| Veröffentlichende Institution: | Universität Potsdam |
| Datum der Freischaltung: | 17.03.2006 |
| Freies Schlagwort / Tag: | Malliavin calculus; entropy; integration by parts formula; mixture of bridges; reciprocal processes; stochastic bridge; time reversal |
| Quelle: | Stochastic Processes and their Applications. - 115 (2005), 10, S. 1677 - 1700 |
| Organisationseinheiten: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |
| Extern / Extern | |
| DDC-Klassifikation: | 5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik |
| Externe Anmerkung: | AMS Classifications: 60G15 , 60G60 , 60H10 , 60J60 published at Stochastic Processes and their Applications. - 115 (2005), 10, S. 1677 - 1700 |
