Time reversal of diffusion processes with a boundary condition

DOI10.1016/0304-4149(88)90101-9zbMath0652.60083MaRDI QIDQ1107219

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

time reversal; smooth density of the transition probability; Ventcel boundary conditions

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

Related Items

Stochastic calculus and degenerate boundary value problems, Time reversal and reflected diffusions

Cites Work

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• Time reversal of diffusions
• Semigroups and boundary value problems
• Hypoelliptic second order differential equations
• 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
• Théorie générale des processus et retournement du temps