Time reversal and reflected diffusions

Continuous Time Perpetuities and the Time Reversal of Diffusions

Weak Approximation of Obliquely Reflected Diffusions in Time-dependent Domains

In an earlier paper, we proved the existence of solutions to the Skorohod problem with oblique reflection in time-dependent domains and, subsequently, applied this result to the problem of constructing solutions, in time-dependent domains, to stochastic differential equations with oblique reflection. In this paper we use these results to construct weak approximations of solutions to stochastic ...

Molecular Motors, Brownian Ratchets, and Reflected Diffusions

Molecular motors are protein structures that play a central role in accomplishing mechanical work inside a cell. While chemical reactions fuel this work, it is not exactly known how this chemical-mechanical conversion occurs. Recent advances in microbiological techniques have enabled at least indirect observations of molecular motors which in turn have led to significant effort in the mathemati...

Time Reversal of Diffusions' by U. G. Haussmann And

It is shown that if a diffusion process, {Xt: 0 < t < 1}, on Rd satisfies dXt = b(t, Xt) dt + a(t, Xt) dwt then the reversed process, {Xt: 0 < t < 1} where Xt = Xl t , is again a diffusion with drift b and diffusion coefficient a, provided some mild conditions on b, a, and p(, the density of the law of X(, hold. Moreover b and a are identified. 1. Introduction. It is well known that a Markov pr...

Characterization of Stationary Distributions of Reflected Diffusions

Given a domain G, a reflection vector field d(·) on ∂G, the boundary of G, and drift and dispersion coefficients b(·) and σ(·), let L be the usual second-order elliptic operator associated with b(·) and σ(·). Under mild assumptions on the coefficients and reflection vector field, it is shown that when the associated submartingale problem is well posed, a probability measure π on Ḡ with π(∂G) = ...