Time reversal of diffusion processes with a boundary condition

DOI10.1016/0304-4149(88)90101-9zbMath0652.60083OpenAlexW2046243596MaRDI QIDQ1107219

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

time reversalsmooth density of the transition probabilityVentcel boundary conditions

Mathematics Subject Classification ID

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

Related Items (4)

Particle representations for stochastic partial differential equations with boundary conditions ⋮ The entropy production of stationary diffusions ⋮ Stochastic calculus and degenerate boundary value problems ⋮ Time reversal and reflected diffusions

Cites Work

• Reverse time diffusions
• Hypoellipticité et hypoellipticité partielle pour les diffusions avec une condition frontière (Hypoellipticity and partial hypoellipticity for diffusions with a boundary condition)
• Time reversal of diffusions
• Semigroups and boundary value problems
• Hypoelliptic second order differential equations
• 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
• Théorie générale des processus et retournement du temps
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