Integration by Parts and Time Reversal for Diffusion Processes
Open Access
- 1 January 1989
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Probability
- Vol. 17 (1) , 208-238
- https://doi.org/10.1214/aop/1176991505
Abstract
In this paper we obtain necessary and sufficient conditions for the reversibility of the diffusion property, assuming the existence of a density at every time $t$. The proofs are based on techniques of the stochastic calculus of variations.
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