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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)

Abstract

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.

Keywords

Wiener Process Time Reversal Finite Energy Wiener Measure Finite Entropy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag 1985

Authors and Affiliations

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

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