Time Reversal of diffusion processes under a finite entropy condition

DOI10.1214/22-AIHP1320zbMATH Open1530.60069arXiv2104.07708OpenAlexW3155914913MaRDI QIDQ6147690FDOQ6147690

Authors: Patrick Cattiaux, Giovanni Conforti, Ivan Gentil, Christian Léonard 

Publication date: 16 January 2024

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: Motivated by entropic optimal transport, time reversal of diffusion processes is revisited. An integration by parts formula is derived for the carr'e du champ of a Markov process in an abstract space. It leads to a time reversal formula for a wide class of diffusion processes in $mathbb{R}^n$ possibly with singular drifts, extending the already known results in this domain. The proof of the integration by parts formula relies on stochastic derivatives. Then, this formula is applied to compute the semimartingale characteristics of the time-reversed $P^{*}$ of a diffusion measure $P$ provided that the relative entropy of $P$ with respect to another diffusion measure $R$ is finite, and the semimartingale characteristics of the time-reversed $R^{*}$ are known (for instance when the reference path measure $R$ is reversible). As an illustration of the robustness of this method, the integration by parts formula is also employed to derive a time-reversal formula for a random walk on a graph.

Full work available at URL: https://arxiv.org/abs/2104.07708

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zbMATH Keywords

random walkdiffusion processrelative entropytime-reversalstochastic derivativeentropic optimal transport

Mathematics Subject Classification ID

Optimal transportation (49Q22) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25)

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Cited In (1)

• Variational methods for evolution. Abstracts from the workshop held December 5--8, 2023

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