Time reversal of Markov processes with jumps under a finite entropy condition

Giovanni Conforti and Christian Léonard

Stochastic Processes and their Applications, 2022, vol. 144, issue C, 85-124

Abstract: Motivated by entropic optimal transport, time reversal of Markov jump processes in Rn is investigated. Relying on an abstract integration by parts formula for the carré du champ of a Markov process recently obtained in Cattiaux et al. (2021), and using an entropic improvement strategy discovered by Föllmer (1985, 1986), we compute the semimartingale characteristics of the time reversed process for a wide class of jump processes in Rn with possibly unbounded variation sample paths and singular intensities of jump.

Keywords: Jump process; Time reversal; Relative entropy (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spa.2021.10.002

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