Time reversal of diffusion processes with a boundary condition

DOI10.1016/0304-4149(88)90101-9MaRDI QIDQ1107219zbMATH OpenOpenAlexFDO

Authors Patrick Cattiaux

Publication date 1988

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(88)90101-9

zbMATH Keywords

smooth density of the transition probabilitytime reversalVentcel boundary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Cites work

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• Hypoelliptic second order differential equations
• Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)
• Last exit decompositions and regularity at the boundary of transition probabilities
• Regularite au bord pour les densites et les densites conditionnelles d'une diffusion reflechie hypoeiliptique
• Reverse time diffusions
• Semigroups and boundary value problems
• Théorie générale des processus et retournement du temps
• Time reversal of diffusions

Cited in

(14)

• Stochastic calculus and degenerate boundary value problems
• Time reversal and reflected diffusions
• Aronson's estimates and conditional diffusion processes
• Particle representations for stochastic partial differential equations with boundary conditions
• Integration by parts and time reversal for diffusion processes
• Time-reversal of coalescing diffusive flows and weak convergence of localized disturbance flows
• Time reversal of some stationary jump diffusion processes from population genetics
• scientific article; zbMATH DE number 3883353 (Why is no real title available?)
• scientific article; zbMATH DE number 4138894 (Why is no real title available?)
• scientific article; zbMATH DE number 3896050 (Why is no real title available?)
• scientific article; zbMATH DE number 4072075 (Why is no real title available?)
• The entropy production of stationary diffusions
• The origin of vorticity in viscous incompressible flows
• Boundary sensitivities for diffusion processes in time dependent domains

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