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.

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Metadaten
Author details:Sylvie RoellyGND, Michèle Thieullen
URN:urn:nbn:de:kobv:517-opus-6710
Publication type:Postprint
Language:English
Publication year:2005
Publishing institution:Universität Potsdam
Release date:2006/03/17
Tag:Malliavin calculus; entropy; integration by parts formula; mixture of bridges; reciprocal processes; stochastic bridge; time reversal
Source:Stochastic Processes and their Applications. - 115 (2005), 10, S. 1677 - 1700
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik
Extern / Extern
DDC classification:5 Naturwissenschaften und Mathematik / 51 Mathematik / 510 Mathematik
External remark:
AMS Classifications: 60G15 , 60G60 , 60H10 , 60J60

published at Stochastic Processes and their Applications. - 115 (2005), 10, S. 1677 - 1700
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