Variational calculus for diffusions

2016/07/19 by Hartmann, Kévin · 1 citation
#49 #60H #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1607.05488

Abstract

We expand the classic variational formulation of -log𝔼[e^-f] to the case where f depends on a diffusion, and not only a on Brownian motion, while decreasing the integrability hypothesis on f. We also give an entropic characterisation of the invertibility of a perturbation of a diffusion and discuss the attainability of the infimum in the aforementioned variational formulation.

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