Duality formula for the bridges of a Brownian diffusion. Application to gradient drifts

Abstract

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 C([0; 1]; ℝd ). Our techniques provide a characterization of gradient diffusions by a duality formula and, in case of reversibility, a generalization of a result of Kolmogoro

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