Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts

DOI10.1016/j.spa.2005.04.010zbMath1079.60036OpenAlexW2001868151MaRDI QIDQ2568301

Michèle Thieullen, Sylvie Roelly

Publication date: 10 October 2005

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

Full work available at URL: https://publishup.uni-potsdam.de/files/593/RoellyThieullenP335.pdf

zbMATH Keywords

entropyMalliavin calculustime reversalintegration by parts formulareversible processstochastic bridgereciprocal processesmixture of bridge

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (7)

Reciprocal classes of random walks on graphs ⋮ Reciprocal class of jump processes ⋮ Fluctuations of bridges, reciprocal characteristics and concentration of measure ⋮ Couplings, gradient estimates and logarithmic Sobolev inequalitiy for Langevin bridges ⋮ Reciprocal Processes: A Stochastic Analysis Approach ⋮ A second order equation for Schrödinger bridges with applications to the hot gas experiment and entropic transportation cost ⋮ Reciprocal processes. A measure-theoretical point of view

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