Second order stochastic differential equations and non-Gaussian reciprocal diffusions (Q1326250): Difference between revisions

We first prove that a Markov diffusion satisfies a second order stochastic differential equation involving the invariants associated to its reciprocal class as a reciprocal process. Some properties of the noise term are given. We also prove that this equation can be viewed as a Euler-Lagrange equation in a problem of calculus of variations. In the non-Markovian case, a Bernstein bridge is shown to satisfy the same equation but in a weak sense.