| Título: | Dynamical properties and characterization of gradient drift diffusions |
| Autores: |
Darses, Sébastien; Boston University Nourdin, Ivan; University Paris VI |
| Fecha: | 2007-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
Gradient drift diffusion; Time reversal; Nelson stochastic derivatives; Kolmogorov theorem; Reversible diffusion; Stationary diffusion; Martingale problem 60J60 |
| Descripción: | We study the dynamical properties of the Brownian diffusions having $\sigma\,{\rm Id}$ as diffusion coefficient matrix and $b=\nabla U$ as drift vector. We characterize this class through the equality $D^2_+=D^2_-$, where $D_{+}$ (resp. $D_-$) denotes the forward (resp. backward) stochastic derivative of Nelson's type. Our proof is based on a remarkable identity for $D_+^2-D_-^2$ and on the use of the martingale problem. |
| Idioma: | No aplica |
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