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Time reversal of Markov processes with jumps under a finite entropy condition

Abstract : Motivated by entropic optimal transport, time reversal of Markov jump processes in Rn is investigated. Relying on an abstract integration by parts formula for the carré du champ of a Markov process recently obtained by Cattiaux, Gentil and the auhors, and using an entropic improvement strategy discovered by Föllmer in the eighties, we compute the semimartingale characteristics of the time reversed process for a wide class of jump processes with possibly unbounded variation sample paths and singular intensities of jump.
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https://hal.archives-ouvertes.fr/hal-03206486
Contributor : Christian Léonard <>
Submitted on : Friday, April 23, 2021 - 12:41:57 PM
Last modification on : Wednesday, April 28, 2021 - 3:25:10 AM

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  • HAL Id : hal-03206486, version 1

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Giovanni Conforti, Christian Léonard. Time reversal of Markov processes with jumps under a finite entropy condition. 2021. ⟨hal-03206486⟩

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