An entropy approach to the time reversal of diffusion processes

  • H. Föllmer
Stochastic Equations, Diffusions
Part of the Lecture Notes in Control and Information Sciences book series (LNCIS, volume 69)


We introduce an entropy technique which allows to treat some infinite-dimensional extensions of the classical duality equations for the time reversal of diffusion processes.


Wiener Process Time Reversal Finite Energy Wiener Measure Finite Entropy 
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Copyright information

© Springer-Verlag 1985

Authors and Affiliations

  • H. Föllmer
    • 1
  1. 1.Mathematikdepartement ETH ZentrumZürich

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