Dynamical properties and characterization of gradient drift diffusions

DOI10.1214/ECP.V12-1324MaRDI QIDQ2461044zbMATH OpenFDO

Authors Sébastien Darses, Ivan Nourdin

Publication date 19 November 2007

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0612413, https://eudml.org/doc/128290

zbMATH Keywords

stationary diffusionmartingale problemtime reversalreversible diffusionKolmogorov theoremNelson stochastic derivatives

Mathematics Subject Classification ID

Diffusion processes (60J60)

Abstract: We study the dynamical properties of the Brownian diffusions having $sigmamId$ as diffusion coefficient matrix and $b=ablaU$ as drift vector. We characterize this class through the equality $D_{+}^2=D_{-}^2$, where $D_{+}$ (resp. $D_{-}$) denotes the forward (resp. backward) stochastic derivative of Nelson's type. Our proof is based on a remarkable identity for $D_{+}^2-D_{-}^2$ and on the use of the martingale problem. We also give a new formulation of a famous theorem of Kolmogorov concerning reversible diffusions. We finally relate our characterization to some questions about the complex stochastic embedding of the Newton equation which initially motivated of this work.

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