The time reversal of stochastic diffusion processes is revisited with emphasis on the physical meaning of the time-reversed drift and the noise prescription in the case of multiplicative noise. The local kinematics and mechanics of free diffusion are linked to the hydrodynamic description. These properties also provide an interpretation of the Pope-Ching formula for the steady-state probability density function along with a geometric interpretation of the fluctuation-dissipation relation. Finally, the statistics of the local entropy production rate of diffusion are discussed in the light of local diffusion properties, and a stochastic differential equation for entropy production is obtained using the Girsanov theorem for reversed diffusion. The results are illustrated for the Ornstein-Uhlenbeck process.
|Original language||English (US)|
|Journal||Physical Review E - Statistical, Nonlinear, and Soft Matter Physics|
|State||Published - Oct 31 2011|
All Science Journal Classification (ASJC) codes
- Statistical and Nonlinear Physics
- Statistics and Probability
- Condensed Matter Physics