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 . 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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Year of publication:	2005
Authors:	Roelly, Sylvie ; Thieullen, Michèle
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 115.2005, 10, p. 1677-1700
Publisher:	Elsevier
Keywords:	Reciprocal processes Stochastic bridge Mixture of bridges Integration by parts formula Malliavin calculus Entropy Time reversal Reversible process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872716