An entropy approach to the time reversal of diffusion processes. (English) Zbl 0562.60083
Stochastic differential systems, Proc. IFIP-WG 7/1 Work. Conf., Marseille-Luminy/France 1984, Lect. Notes Control Inf. Sci. 69, 156-163 (1985).
[For the entire collection see Zbl 0552.00009.]
The author formulates several results concerning the time reversal of diffusion processes. The notion of the relative entropy of one measure with respect to another is used to give a sufficient condition for the time-reversed drift to be a stochastic backward derivative. The proofs are not given and will appear elsewhere.
The author formulates several results concerning the time reversal of diffusion processes. The notion of the relative entropy of one measure with respect to another is used to give a sufficient condition for the time-reversed drift to be a stochastic backward derivative. The proofs are not given and will appear elsewhere.
Reviewer: Y.Kifer
MSC:
| 60J60 | Diffusion processes |
| 60H10 | Stochastic ordinary differential equations (aspects of stochastic analysis) |
