Time reversal of diffusion processes with a boundary condition

DOI10.1016/0304-4149(88)90101-9MaRDI QIDQ1107219zbMATH OpenOpenAlexFDO

Authors Patrick Cattiaux

Publication date 1988

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

Full work available at URL https://doi.org/10.1016/0304-4149(88)90101-9

zbMATH Keywords

smooth density of the transition probabilitytime reversalVentcel boundary conditions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Review text

Sufficient conditions are given under which a diffusion process with Ventcel boundary conditions has smooth density of the transition probability and remains a diffusion process with Ventcel boundary conditions after time reversal.

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Cites work

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• Hypoelliptic second order differential equations
• Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)
• Last exit decompositions and regularity at the boundary of transition probabilities
• Regularite au bord pour les densites et les densites conditionnelles d'une diffusion reflechie hypoeiliptique
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• Semigroups and boundary value problems
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• Time reversal of diffusions

Cited in

(14)

• Stochastic calculus and degenerate boundary value problems
• Time reversal and reflected diffusions
• Aronson's estimates and conditional diffusion processes
• Particle representations for stochastic partial differential equations with boundary conditions
• Integration by parts and time reversal for diffusion processes
• Time-reversal of coalescing diffusive flows and weak convergence of localized disturbance flows
• Time reversal of some stationary jump diffusion processes from population genetics
• scientific article; zbMATH DE number 3883353 (Why is no real title available?)
• scientific article; zbMATH DE number 4138894 (Why is no real title available?)
• scientific article; zbMATH DE number 3896050 (Why is no real title available?)
• scientific article; zbMATH DE number 4072075 (Why is no real title available?)
• The entropy production of stationary diffusions
• The origin of vorticity in viscous incompressible flows
• Boundary sensitivities for diffusion processes in time dependent domains

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