scientific article; zbMATH DE number 3982184

MaRDI QIDQ3746599zbMATH OpenFDO

Authors Etienne Pardoux

Publication date 1986

Full work available at URL http://www.numdam.org/item?id=SPS_1986__20__48_0, https://eudml.org/doc/113566

zbMATH Keywords

time-reversalsemi-martingale decomposition

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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• A variational characterization of Langevin-Smoluchowski diffusions
• A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
• Time reversal of diffusion processes with a boundary condition
• Markov bridges: SDE representation
• Stochastic partial differential equations with singular terminal condition
• Time reversal and reflected diffusions
• An extension of Itô's formula for elliptic diffusion processes
• Approximation via regularization of the local time of semimartingales and Brownian motion
• Time reversal of Markov processes with jumps under a finite entropy condition
• A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions
• Enlarged filtrations for diffusions
• Two Brownian particles with rank-based characteristics and skew-elastic collisions
• Backward stochastic differential equations with singular terminal condition

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