Minimization of the Kullback information for some Markov processes
Patrick Cattiaux; Christian Léonard
Séminaire de probabilités de Strasbourg (1996)
- Volume: 30, page 288-311
Access Full Article
topHow to cite
topCattiaux, Patrick, and Léonard, Christian. "Minimization of the Kullback information for some Markov processes." Séminaire de probabilités de Strasbourg 30 (1996): 288-311. <http://eudml.org/doc/113935>.
@article{Cattiaux1996,
author = {Cattiaux, Patrick, Léonard, Christian},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Markov processes; martingale problem; entropy; large deviations},
language = {eng},
pages = {288-311},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Minimization of the Kullback information for some Markov processes},
url = {http://eudml.org/doc/113935},
volume = {30},
year = {1996},
}
TY - JOUR
AU - Cattiaux, Patrick
AU - Léonard, Christian
TI - Minimization of the Kullback information for some Markov processes
JO - Séminaire de probabilités de Strasbourg
PY - 1996
PB - Springer - Lecture Notes in Mathematics
VL - 30
SP - 288
EP - 311
LA - eng
KW - Markov processes; martingale problem; entropy; large deviations
UR - http://eudml.org/doc/113935
ER -
References
top- [AIR] S. Albeverio and M. Röckner. Classical Dirichlet forms on topological vector spaces. Closability and a Cameron-Martin formula. J. Funct. Anal.88, (1990), 395-436. Zbl0737.46036MR1038449
- [ARZ] S. Albeverio, M. Röckner and T.S. Zhang. Girsanov transform for symmetric diffusions with infinite dimensional state space.Ann. Probab.21, (1993), 961-978. Zbl0776.60093MR1217575
- [BoH] N. Bouleau and F. Hirsch. Dirichlet forms and analysis on Wiener space. Ed. De Gruyter, (1991). Zbl0748.60046MR1133391
- [Car] E. Carlen. Conservative diffusions. Comm. Math. Phys.94. (1984), 293-315. Zbl0558.60059MR763381
- [Cat] P. Cattiaux. Stochastic calculus and degenerate boundary value problems. Ann. Inst. Fourier42. (1992), 541-624. Zbl0780.35023MR1182641
- [CaF] P. Cattiaux et M. Fradon. Entropy, reversible diffusion processes and Markov uniqueness. Preprint Orsay & Polytechnique, (1995). Zbl0863.60074
- [CaG] P. Cattiaux et F. Gamboa. Large deviations and variational theorems for marginal problems. Preprint Orsay & Polytechnique, (1995).
- [CaL1] P. Cattiaux and C. Léonard. Minimization of the Kullback information of diffusion processes. Ann. Inst. Henri Poincaré, Vol. 30, (1994), 83-132. Correction. To appear in Ann. Inst. Henri Poincaré, (1995). Zbl0790.60032MR1262893
- [CaL2] P. Cattiaux and C. Léonard. Large deviations and Nelson processes. Forum Math., Vol. 7, (1995), 95-115. Zbl0817.60021MR1307957
- [CRZ] P. Cattiaux , S. Roelly and H. Zessin. Une approche Gibbsienne des diffusions Browniennes infinidimensionnelles.to appear in Prob. Th. Rel. Fields. Zbl0838.60068MR1373374
- [DaG] D.A. Dawson and J. Gärtner. Large deviations from the McKean-Vlasov limit for weakly interacting diffusions. Stochastics and Stoch. Rep., Vol. 20, (1987), p 247-308. Zbl0613.60021MR885876
- [DcG] D. Dacunha-Castelle et F. Gamboa. Maximum d'entropie et problèmes de moments. Ann. Inst. Henri Poincaré26, (1990), 567-596. Zbl0788.62007MR1080586
- [DeM] C. Dellacherie et P.A. Meyer. Probabilités et Potentiel, Ch. XII-XVI. (1987), Hermann, Paris. Zbl0624.60084MR898005
- [DeS] J.D. Deuschel and D.W. Stroock. Large Deviations. Pure and Applied Mathematics, 137, (1989), Academic Press, Boston. Zbl0705.60029MR997938
- [DeZ] A. Dembo and O. Zeitouni. Large Deviations Techniques and Applications. (1993), Jones and Bartlett Publishers. Zbl0793.60030MR1202429
- [Föl] H. Föllmer. Random Fields and Diffusion Processes. Cours à l'Ecole d'été de Probabilités de Saint-Flour. (1988), Lecture Notes in Mathematics1362, Springer Verlag. Zbl0661.60063MR983373
- [FöW] H. Föllmer and A. Wakolbinger. Time reversal of infinite dimensional diffusion processes. Stoch. Proc. and Appl.22, (1986), 59-78. Zbl0602.60067MR852383
- [Fuk] M. Fukushima. Dirichlet forms and Markov processes. Second Ed., North-Holland, (1988). Zbl0422.31007MR569058
- [GaG] F. Gamboa and E. Gassiat. Bayesian methods for ill posed problems. Preprint Orsay, (1994). MR1429928
- [IkW] N. Ikeda and S. Watanabe. Stochastic differential equations and diffusion processes. (1989), North Holland. Zbl0684.60040MR1011252
- [Jac] J. Jacod. Calcul stochastique et problèmes de martingales. Lecture Notes in Mathematics714, (1979), Springer Verlag. Zbl0414.60053MR542115
- [Kun] H. Kunita. Stochastic differential equations and stochastic flow of diffeomorphisms. Ecole d'été de probabilités de Saint-Flour. Lecture Notes in Mathematics1907, (1984), Springer-Verlag. Zbl0554.60066MR876080
- [LeR] G. Leha and G. Ritter. On solutions to stochastic differential equations with discontinuous drift in Hilbert spaces. Math. Ann., Vol. 270, (1985), 109-123. Zbl0573.60045MR769614
- [Lio] P.L. Lions. Generalized solutions of Hamilton-Jacobi equations. Research Notes in Mathematics, 69. Pitman, Boston, (1982). Zbl0497.35001MR667669
- [MaR] Z. Ma and M. Röckner. An introduction to the theory of (non symmetric) Dirichlet forms. Springer, (1992). Zbl0826.31001MR1214375
- [MeZ] P.A. Meyer et W.A. Zheng. Construction de processus de Nelson réversibles. Séminaire de Probabilités XIV, Lecture Notes in Mathematics1123, (1985), 12-26. Zbl0564.60075MR889465
- [MNS] A. Millet, D. Nualart and M. Sanz. Time reversal for infinite dimensional diffusions. Prob. Th. Rel. Fields82, (1989), 315-347. Zbl0659.60107MR1001517
- [Sha] M.J. Sharpe. general theory of Markov processes. Academic Press, (1988). Zbl0649.60079MR958914
- [ShS] T. Shiga and A. Shimizu. Infinite dimensional stochasticdifferential equations and their applications. J. Math. Kyoto Univ.20, (1980), 395-416. Zbl0462.60061MR591802
- [Son] S.Q. Song. Habilitation. Univ. Paris VI, (1993).
- [Zhe] W.A. Zheng. Tightness results for laws of diffusion processes. Application to stochastic mechanics. Ann. Inst. Henri Poincaré, Vol. 21, No. 2, (1985), 103-124. Zbl0579.60050MR798890
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.