Abstract
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 in Cattiaux et al. (2021), and using an entropic improvement strategy discovered by Föllmer (1985, 1986), we compute the semimartingale characteristics of the time reversed process for a wide class of jump processes in Rn with possibly unbounded variation sample paths and singular intensities of jump.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
