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Integration by Parts and Time Reversal for Diffusion Processes

Millet, A.
; 
Nualart, David
; 
Sanz, Marta
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Abstract
In this paper we obtain necessary and sufficient conditions for the reversibility of the diffusion property, assuming the existence of a density at every time t. The proofs are based on techniques of the stochastic calculus of variations.
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This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176991505.
Date
1989-01-05
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Volume Title
Publisher
Institute of Mathematical Statistics (IMS)
Collections
Mathematics Scholarly Works
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NualartD_AP_17(1)208.pdf
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Keywords
Time reversal, diffusions, integration by pars formula
Citation
Millet, A.; Nualart, D.; Sanz, M. Integration by Parts and Time Reversal for Diffusion Processes. Ann. Probab. 17 (1989), no. 1, 208--238. http://dx.doi.org/10.1214/aop/1176991505.
URI
https://hdl.handle.net/1808/17062
DOI
10.1214/aop/1176991505
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