Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts

Sylvie Roelly and Michèle Thieullen

Stochastic Processes and their Applications, 2005, vol. 115, issue 10, 1677-1700

Abstract: 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.

Keywords: Reciprocal; processes; Stochastic; bridge; Mixture; of; bridges; Integration; by; parts; formula; Malliavin; calculus; Entropy; Time; reversal; Reversible; process (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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