Time reversal of finite and infinite dimensional diffusion processes

Add to your list(s) Download to your calendar using vCal

• Annie Millet (Université Paris 1)
• Tuesday 16 July 2024, 11:00-12:00
• External.

If you have a question about this talk, please contact nobody.

DMLW01 - International workshop on diffusions in machine learning: foundations, generative models, and optimisation

We study finite dimensional diffusion processes (Xt, t ∈ [0, 1]) such that Xt has a density for every t > 0. We give a necessary and sufficient condition for the time reversed process (Yt = X1−t, t ∈ [0, 1]) to be a diffusion, and identify its diffusion and drift coefficients. We prove similar results for a diffusion (Xit, i ∈ Z, t ∈ [0, 1]) solution to an infinite dimensional system of SDEs. The proofs use stochastic calculus of variations; this is joint work with D. Nualart and M. Sanz-Sol´e.

This talk is part of the Isaac Newton Institute Seminar Series series.

This talk is included in these lists:

• All CMS events
• External
• Featured lists
• INI info aggregator
• Isaac Newton Institute Seminar Series
• School of Physical Sciences
• bld31

Note that ex-directory lists are not shown.