Onsager-Machlup functionals for solutions of stochastic boundary-value problems

Mireille Chaleyat-Maurel; David Nualart

Séminaire de probabilités de Strasbourg (1995)

  • Volume: 29, page 44-55

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Chaleyat-Maurel, Mireille, and Nualart, David. "Onsager-Machlup functionals for solutions of stochastic boundary-value problems." Séminaire de probabilités de Strasbourg 29 (1995): 44-55. <http://eudml.org/doc/113916>.

@article{Chaleyat1995,
author = {Chaleyat-Maurel, Mireille, Nualart, David},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Onsager-Machlup functional; anticipative stochastic differential equations; stochastic differential equation with boundary condition; anticipative Girsanov transformation},
language = {eng},
pages = {44-55},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Onsager-Machlup functionals for solutions of stochastic boundary-value problems},
url = {http://eudml.org/doc/113916},
volume = {29},
year = {1995},
}

TY - JOUR
AU - Chaleyat-Maurel, Mireille
AU - Nualart, David
TI - Onsager-Machlup functionals for solutions of stochastic boundary-value problems
JO - Séminaire de probabilités de Strasbourg
PY - 1995
PB - Springer - Lecture Notes in Mathematics
VL - 29
SP - 44
EP - 55
LA - eng
KW - Onsager-Machlup functional; anticipative stochastic differential equations; stochastic differential equation with boundary condition; anticipative Girsanov transformation
UR - http://eudml.org/doc/113916
ER -

References

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  1. [1] M. Chaleyat-Maurel and D. Nualart: The Onsager-Machlup functional for a class of anticipating processes. Probab. Theory Rel. Fields94, 247-270 (1992). Zbl0767.60047MR1191109
  2. [2] I. Chavel: Eigenvalues in Riemannian Geometry. Academic Press, 1984. Zbl0551.53001MR768584
  3. [3] N. Ikeda and S. Watanabe: Stochastic differential equations and Diffusion processes. Amsterdam, Oxford, New York: North-Holland, 1981. Zbl0495.60005MR637061
  4. [4] S. Kusuoka: The non linear transformation of Gaussian measure on Banach space and its absolute continuity. (I). J. Fac. Sci. Tokyo Univ.32 Sec. IA, 567-597 (1985) Zbl0525.60050MR687592
  5. [5] Wenbo Li: Private communication. 
  6. [6] D. Nualart and E. Pardoux: Stochastic calculus with anticipating integrands. Probab. Theory Rel. Fields78, 535-581 (1988). Zbl0629.60061MR950346
  7. [7] D. Nualart and E. Pardoux: Boundary value problems for stochastic differential equations. Annals of Probability19, 1118-1144 (1991). Zbl0736.60052MR1112409
  8. [8] D. Nualart and E. Pardoux: Second order stochastic differential equations with Dirichlet boundary conditions. Stochastic Processes and Their Applications39, 1-24 (1991). Zbl0745.60061MR1135081
  9. [9] D. Nualart and E. Pardoux: Stochastic differential equations with boundary conditions. In: Stochastic Analysis and Appl..ed. A.B. Cruzeiro and J.C. Zambrini. Birkhauser1991, 155-175. Zbl0795.60044MR1168074
  10. [10] L.A. Shepp and O. Zeitouni: A note on conditional exponential moments and Onsager Machlup functionals. Annals of Probability20, 652-654 (1992). Zbl0756.60038MR1159564

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