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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 C[0; 1]; R-d) Our techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogorov.

Identiferoai:union.ndltd.org:Potsdam/oai:kobv.de-opus-ubp:671
Date January 2005
CreatorsRoelly, Sylvie, Thieullen, Michèle
PublisherUniversität Potsdam, Mathematisch-Naturwissenschaftliche Fakultät. Institut für Mathematik, Extern. Extern
Source SetsPotsdam University
LanguageEnglish
Detected LanguageEnglish
TypePostprint
Formatapplication/pdf
SourceStochastic Processes and their Applications. - 115 (2005), 10, S. 1677 - 1700
Rightshttp://opus.kobv.de/ubp/doku/urheberrecht.php

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