Time reversal and reflected diffusions

DOI10.1016/S0304-4149(97)00035-5MaRDI QIDQ1275933zbMATH OpenFDO

Publication date 14 January 1999

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

Full work available at URL https://doi.org/10.1016/S0304-4149(97)00035-5

entropy reflected Brownian motion reflected diffusions time reversal

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

Review text

Let us consider a reflected diffusion \(X=(Y,Z)\) taking values in \(\mathbb R_{+}\times \mathbb R^{n}\) and described by a stochastic differential equation \[ \begin{aligned} & Z_{t}=Z_{0}+\int ^{t}_{0}\text{sgn}(W_{s}-Z_{0}) ds +l _t(Z_{0},W), \quad \int ^{t}_{0}1_{\{Z_{s}=0\}} ds = 0, \\ &Y_{t}= Y_{0} +\int ^{t}_{0} \chi _{0}(s,X_{s}) ds + \int ^{t}_{0}\chi _{1}(X_{s}) dB_{s} + \int ^{t}_{0} V_{0}(Y_{s}) dl _{s}(Z_{0},W), \end{aligned} \] where \(Z_{0}\geq 0\), \(W\) and \(B\) are independent Wiener processes in \(\mathbb R\) and \(\mathbb R^{n}\), respectively, the coefficients \(\chi _{0}\), \(\chi _{1}\), \(V_{0}\) are assumed to be \(C^\infty \)-smooth and bounded, and \(l _{s}(r,W)\) denotes the local time of the process \(W\) at time \(s\) and level \(r\). Suppose that the process \(X\) has a \(C^\infty \)-smooth density \(q\). Under some assumptions on \(q\) the equation satisfied by the time reversed process \((X_{1-t})_{0\leq t\leq 1}\) is found and the duality equation is derived. To make the main ideas clear, the case of the reflected Brownian motion is discussed separately in the first part of the paper. The methods used by the author extend those employed by \textit{H. Föllmer} in the ``non-reflected case [see his contributions in: Stochastic processes -- mathematics and physics. Lect. Notes Math. 1158, 119-129 (1986; Zbl 0582.60078), and in: Calcul des probabilités. Lect. Notes Math. 1362, 101-203 (1988; Zbl 0661.60063)].

Recommendations

Cites work

Cited in

(27)

This page was built for publication: Time reversal and reflected diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1275933)