Time reversal and reflected diffusions

DOI10.1016/S0304-4149(97)00035-5zbMath0911.60059MaRDI QIDQ1275933

Frédérique Petit

Publication date: 14 January 1999

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

zbMATH Keywords

entropytime reversalreflected Brownian motionreflected diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (2)

Two Brownian particles with rank-based characteristics and skew-elastic collisions ⋮ Stratonovich stochastic differential equation with irregular coefficients: Girsanov's example revisited

Cites Work

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• Symmetric reflected diffusions
• Correction to: Minimization of the Kullback information of diffusion processes
• Large deviations and Nelson processes
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

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