An entropy approach to the time reversal of diffusion processes. (English) Zbl 0562.60083

Föllmer, Hans

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.

Reviewer: Y.Kifer

MSC:

60J60	Diffusion processes
60H10	Stochastic ordinary differential equations (aspects of stochastic analysis)

Keywords:

time reversal of diffusion processes; time-reversed drift