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SUMMARY:Time reversal of finite and infinite dimensional diffusion process
 es - Annie Millet (Université Paris 1)
DTSTART:20240716T100000Z
DTEND:20240716T110000Z
UID:TALK219031@talks.cam.ac.uk
DESCRIPTION:We study finite dimensional diffusion processes (Xt\, t &isin\
 ; [0\, 1]) such that Xt has a density for every t > 0. We give a necessary
  and sufficient condition for the time reversed process (Yt = X1&minus\;t\
 , t &isin\; [0\, 1]) to be a diffusion\, and identify its diffusion and dr
 ift coefficients. We prove similar results for a diffusion (Xit\, i &isin\
 ; Z\, t &isin\; [0\, 1]) solution to an infinite dimensional system of SDE
 s. The proofs use stochastic calculus of variations\; this is joint work w
 ith D.\nNualart and M. Sanz-Sol&acute\;e.
LOCATION:External
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