Second order stochastic differential equations and non-Gaussian reciprocal diffusions

DOI10.1007/BF01199322zbMath0793.60051MaRDI QIDQ1326250

Michèle Thieullen

Publication date: 16 August 1994

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationEuler-Lagrange equationreciprocal processBernstein bridgeMarkov diffusion

Mathematics Subject Classification ID

Random fields (60G60) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (16)

Reciprocal classes of random walks on graphs ⋮ Reciprocal class of jump processes ⋮ Fluctuations of bridges, reciprocal characteristics and concentration of measure ⋮ Couplings, gradient estimates and logarithmic Sobolev inequalitiy for Langevin bridges ⋮ Entropy minimization and Schrödinger processes in infinite dimensions ⋮ Duality theorem for the stochastic optimal control problem ⋮ Extremal flows in Wasserstein space ⋮ A survey of the Schrödinger problem and some of its connections with optimal transport ⋮ A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost ⋮ Stochastic embedding of dynamical systems ⋮ Reciprocal processes. A measure-theoretical point of view ⋮ Linear stochastic differential equations with functional boundary conditions. ⋮ Stochastic derivatives for fractional diffusions ⋮ Dynamical aspects of the generalized Schrödinger problem via Otto calculus -- a heuristic point of view ⋮ Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts ⋮ Stochastic embedding of Lagrangian systems.

Cites Work

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• A stochastic control approach to reciprocal diffusion processes
• Malliavin calculus and Euclidean quantum mechanics. I: Functional calculus
• Gaussian reciprocal processes and self-adjoint stochastic differential equations of second order
• Variational processes and stochastic versions of mechanics
• Reciprocal diffusions and stochastic differential equations of second order^∗
• Reciprocal processes
• [https://portal.mardi4nfdi.de/wiki/Publication:4140092 The Markov processes of Schr�dinger]

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