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December, 1980 Some Transformations of Diffusions by Time Reversal
M. J. Sharpe
Ann. Probab. 8(6): 1157-1162 (December, 1980). DOI: 10.1214/aop/1176994576


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.


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M. J. Sharpe. "Some Transformations of Diffusions by Time Reversal." Ann. Probab. 8 (6) 1157 - 1162, December, 1980.


Published: December, 1980
First available in Project Euclid: 19 April 2007

zbMATH: 0465.60066
MathSciNet: MR602388
Digital Object Identifier: 10.1214/aop/1176994576

Primary: 60J60

Keywords: additive functional , cooptional time , Linear diffusion , Time reversal

Rights: Copyright © 1980 Institute of Mathematical Statistics

Vol.8 • No. 6 • December, 1980
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