Duality formula for the bridges of a Brownian diffusion: Application to gradient drifts
نویسندگان
چکیده
In this paper, we consider families of time Markov fields (or reciprocal classes) which have the same bridges as a Brownian diffusion. We characterize each class as the set of solutions of an integration by parts formula on the space of continuous paths Cð1⁄20; 1 ;R Þ. Our techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogorov. r 2005 Elsevier B.V. All rights reserved. MSC: 60G15; 60G60; 60H10; 60J60
منابع مشابه
A wavelet method for stochastic Volterra integral equations and its application to general stock model
In this article,we present a wavelet method for solving stochastic Volterra integral equations based on Haar wavelets. First, we approximate all functions involved in the problem by Haar Wavelets then, by substituting the obtained approximations in the problem, using the It^{o} integral formula and collocation points then, the main problem changes into a system of linear or nonlinear equation w...
متن کاملModification of Displacement Coefficient Method in Estimation of Target Displacement for Regular Concrete Bridges Based on ASCE 41-06 Standard
Displacement Coefficient Method (DCM) stipulated in the ASCE 41-06 standard is becoming the preferred method for seismic rehabilitation of buildings in many high-seismic-hazard countries. Applications of the method for non-building constructions such as bridges are beyond the scope of this standard. Thus its application to this kind of structure should be approached with care. Target displaceme...
متن کاملStochastic control with rough paths
We study a class of controlled differential equations driven by rough paths (or rough path realizations of Brownian motion) in the sense of T. Lyons. It is shown that the value function satisfies a HJB type equation; we also establish a form of the Pontryagin maximum principle. Deterministic problems of this type arise in the duality theory for controlled diffusion processes and typically invol...
متن کاملBoundary Harnack principle for Brownian motions with measure-valued drifts in bounded Lipschitz domains
Let μ = (μ1, . . . , μd) be such that each μi is a signed measure on Rd belonging to the Kato class Kd,1. A Brownian motion in Rd with drift μ is a diffusion process in Rd whose generator can be informally written as 1 2 + μ · ∇. When each μi is given by Ui (x)dx for some function Ui , a Brownian motion with drift μ is a diffusion in Rd with generator 1 2 +U ·∇. In Kim and Song (Ill J Math 50(3...
متن کاملNoncolliding Brownian motions and Harish-Chandra formula
We consider a system of noncolliding Brownian motions introduced in our previous paper, in which the noncolliding condition is imposed in a finite time interval (0, T ]. This is a temporally inhomogeneous diffusion process whose transition probability density depends on a value of T , and in the limit T → ∞ it converges to a temporally homogeneous diffusion process called Dyson’s model of Brown...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2005