Time Reversal of diffusion processes under a finite entropy condition

DOI10.1214/22-AIHP1320MaRDI QIDQ6147690zbMATH OpenOpenAlexFDO

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)

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

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)

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 $P^{\ast }$ 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 $R^{\ast }$ 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.

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