Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts (Q2568301): Difference between revisions

The authors characterize the bridges of a Brownian diffusion as solutions of a simple integration by parts on the space of continuous paths. More precisely, the object of study is the class of all probabilities on the path space which have the same bridges as a reference \(d\)-dimensional Brownian diffusion; this class is called the reciprocal class of the reference diffusion. Their techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogorov.