The Annals of Probability

Some Transformations of Diffusions by Time Reversal

M. J. Sharpe

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Abstract

The method of time reversal of a Markov process from a cooptional time, introduced by Nagasawa, is used to show that certain occupation time and last exit time problems for one linear diffusion are equivalent to first passage time problems for certain other diffusions. Another proof of Nagasawa's theorem is given, based on the measures of Revuz.

Article information

Source
Ann. Probab., Volume 8, Number 6 (1980), 1157-1162.

Dates
First available in Project Euclid: 19 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aop/1176994576

Digital Object Identifier
doi:10.1214/aop/1176994576

Mathematical Reviews number (MathSciNet)
MR602388

Zentralblatt MATH identifier
0465.60066

JSTOR
links.jstor.org

Subjects
Primary: 60J60: Diffusion processes [See also 58J65]

Keywords
Linear diffusion cooptional time additive functional time reversal

Citation

Sharpe, M. J. Some Transformations of Diffusions by Time Reversal. Ann. Probab. 8 (1980), no. 6, 1157--1162. doi:10.1214/aop/1176994576. https://projecteuclid.org/euclid.aop/1176994576


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