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Time reversal of diffusion processes with a boundary condition

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  • Cattiaux, Patrick

Abstract

Suitable conditions are given under which a diffusion process with a boundary condition remains a diffusion process (with a boundary condition) after time reversal. Such conditions are directly connected with the existence and smoothness of densities for the associated semi group. Also, previous results on this subject are extended.

Suggested Citation

  • Cattiaux, Patrick, 1988. "Time reversal of diffusion processes with a boundary condition," Stochastic Processes and their Applications, Elsevier, vol. 28(2), pages 275-292, June.
    • Handle: RePEc:eee:spapps:v:28:y:1988:i:2:p:275-292
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    Cited by:

    1. Petit, Frédérique, 1997. "Time reversal and reflected diffusions," Stochastic Processes and their Applications, Elsevier, vol. 69(1), pages 25-53, July.

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