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Time reversal and reflected diffusions

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  • Petit, Frédérique

Abstract

We extend Föllmer's results on time reversal on Wiener space to the case of some reflected diffusions.

Suggested Citation

  • Petit, Frédérique, 1997. "Time reversal and reflected diffusions," Stochastic Processes and their Applications, Elsevier, vol. 69(1), pages 25-53, July.
    • Handle: RePEc:eee:spapps:v:69:y:1997:i:1:p:25-53
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    File URL: http://www.sciencedirect.com/science/article/pii/S0304-4149(97)00035-5
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    References listed on IDEAS

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    1. 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.
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    Cited by:

    1. Fernholz, E. Robert & Ichiba, Tomoyuki & Karatzas, Ioannis, 2013. "Two Brownian particles with rank-based characteristics and skew-elastic collisions," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 2999-3026.

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