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Time Reversal for Drifted Fractional Brownian Motion with Hurst Index $H>1/2$

   
@article{EJP439,
	author = {Sebastien Darses and Bruno Saussereau},
	title = {Time Reversal for Drifted Fractional Brownian Motion with Hurst Index $H>1/2$},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {12},
	year = {2007},
	keywords = {Fractional Brownian motion; Time reversal; Malliavin Calculus.},
	abstract = {Let $X$ be a drifted fractional Brownian motion with Hurst index $H > 1/2$. We prove that there exists a fractional backward representation of $X$, i.e. the time reversed process is a drifted fractional Brownian motion, which continuously extends the one obtained in the theory of time reversal of Brownian diffusions when $H=1/2$. We then apply our result to stochastic differential equations driven by a fractional Brownian motion.},
	pages = {no. 43, 1181-1211},
	issn = {1083-6489},
	doi = {10.1214/EJP.v12-439},    
        url = {http://ejp.ejpecp.org/article/view/439}}