Duality formula for the bridges of a Brownian diffusion : application to gradient drifts
In this paper, we consider families of time Markov fields (or reciprocal classes) which have the same bridges as a Brownian diffusion. We characterize each class as the set of solutions of an integration by parts formula on the space of continuous paths C[0; 1]; R-d) Our techniques provide a charact...
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Universität Potsdam
2005
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| Online Access: | http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-6710 http://opus.kobv.de/ubp/volltexte/2006/671/ |
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ndltd-Potsdam-oai-kobv.de-opus-ubp-6712013-01-08T00:55:30Z Duality formula for the bridges of a Brownian diffusion : application to gradient drifts Roelly, Sylvie Thieullen, Michèle reciprocal processes stochastic bridge mixture of bridges integration by parts formula Malliavin calculus entropy time reversal Mathematics In this paper, we consider families of time Markov fields (or reciprocal classes) which have the same bridges as a Brownian diffusion. We characterize each class as the set of solutions of an integration by parts formula on the space of continuous paths C[0; 1]; R-d) Our techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogorov. Universität Potsdam Mathematisch-Naturwissenschaftliche Fakultät. Institut für Mathematik Extern. Extern 2005 Postprint application/pdf urn:nbn:de:kobv:517-opus-6710 http://opus.kobv.de/ubp/volltexte/2006/671/ Stochastic Processes and their Applications. - 115 (2005), 10, S. 1677 - 1700 eng http://opus.kobv.de/ubp/doku/urheberrecht.php |
| collection |
NDLTD |
| language |
English |
| format |
Others
|
| sources |
NDLTD |
| topic |
reciprocal processes stochastic bridge mixture of bridges integration by parts formula Malliavin calculus entropy time reversal Mathematics |
| spellingShingle |
reciprocal processes stochastic bridge mixture of bridges integration by parts formula Malliavin calculus entropy time reversal Mathematics Roelly, Sylvie Thieullen, Michèle Duality formula for the bridges of a Brownian diffusion : application to gradient drifts |
| description |
In this paper, we consider families of time Markov fields (or reciprocal classes) which have the same bridges as a Brownian diffusion. We characterize each class as the set of solutions of an integration by parts formula on the space of continuous paths C[0; 1]; R-d) Our techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogorov.
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| author |
Roelly, Sylvie Thieullen, Michèle |
| author_facet |
Roelly, Sylvie Thieullen, Michèle |
| author_sort |
Roelly, Sylvie |
| title |
Duality formula for the bridges of a Brownian diffusion : application to gradient drifts |
| title_short |
Duality formula for the bridges of a Brownian diffusion : application to gradient drifts |
| title_full |
Duality formula for the bridges of a Brownian diffusion : application to gradient drifts |
| title_fullStr |
Duality formula for the bridges of a Brownian diffusion : application to gradient drifts |
| title_full_unstemmed |
Duality formula for the bridges of a Brownian diffusion : application to gradient drifts |
| title_sort |
duality formula for the bridges of a brownian diffusion : application to gradient drifts |
| publisher |
Universität Potsdam |
| publishDate |
2005 |
| url |
http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-6710 http://opus.kobv.de/ubp/volltexte/2006/671/ |
| work_keys_str_mv |
AT roellysylvie dualityformulaforthebridgesofabrowniandiffusionapplicationtogradientdrifts AT thieullenmichele dualityformulaforthebridgesofabrowniandiffusionapplicationtogradientdrifts |
| _version_ |
1716501971963215872 |