Time reversal of Markov processes with jumps under a finite entropy condition - Département de mathématiques appliquées Accéder directement au contenu
Article Dans Une Revue Stochastic Processes and their Applications Année : 2022

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

Résumé

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.
Fichier principal
Vignette du fichier
CL-tr-jumps.pdf (580.72 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-03206486 , version 1 (23-04-2021)
hal-03206486 , version 2 (02-09-2022)

Identifiants

  • HAL Id : hal-03206486 , version 1

Citer

Giovanni Conforti, Christian Léonard. Time reversal of Markov processes with jumps under a finite entropy condition. Stochastic Processes and their Applications, 2022, 144, pp.85-124. ⟨hal-03206486v1⟩
62 Consultations
48 Téléchargements

Partager

Gmail Facebook X LinkedIn More