Time reversal of diffusion processes with a boundary condition

Suitable conditions are given under which a diffusion process with a boundary condition remains a diffusion process (with a boundary condition) after time reversal. Such conditions are directly connected with the existence and smoothness of densities for the associated semi group. Also, previous results on this subject are extended.

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Year of publication:	1988
Authors:	Cattiaux, Patrick
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 28.1988, 2, p. 275-292
Publisher:	Elsevier
Keywords:	diffusion processes time reversal boundary conditions density conditions

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

Persistent link: https://www.econbiz.de/10008874672