Integration by Parts and Time Reversal for Diffusion Processes

Millet, A.; Nualart, David; Sanz, Marta

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Issue Date

1989-01-05

Author

Millet, A.

Nualart, David

Sanz, Marta

Publisher

Institute of Mathematical Statistics (IMS)

Type

Article

Article Version

Scholarly/refereed, publisher version

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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.

Description

This is the published version, also available here: http://dx.doi.org/10.1214/aop/1176991505.

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.

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