# Variational representations for continuous time processes

Amarjit Budhiraja; Paul Dupuis; Vasileios Maroulas

Annales de l'I.H.P. Probabilités et statistiques (2011)

- Volume: 47, Issue: 3, page 725-747
- ISSN: 0246-0203

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topBudhiraja, Amarjit, Dupuis, Paul, and Maroulas, Vasileios. "Variational representations for continuous time processes." Annales de l'I.H.P. Probabilités et statistiques 47.3 (2011): 725-747. <http://eudml.org/doc/242555>.

@article{Budhiraja2011,

abstract = {A variational formula for positive functionals of a Poisson random measure and brownian motion is proved. The formula is based on the relative entropy representation for exponential integrals, and can be used to prove large deviation type estimates. A general large deviation result is proved, and illustrated with an example.},

author = {Budhiraja, Amarjit, Dupuis, Paul, Maroulas, Vasileios},

journal = {Annales de l'I.H.P. Probabilités et statistiques},

keywords = {variational representations; Poisson random measure; infinite-dimensional brownian motion; large deviations; jump-diffusions; variational representation; infinite-dimensional Brownian motion; stochastic differential equations},

language = {eng},

number = {3},

pages = {725-747},

publisher = {Gauthier-Villars},

title = {Variational representations for continuous time processes},

url = {http://eudml.org/doc/242555},

volume = {47},

year = {2011},

}

TY - JOUR

AU - Budhiraja, Amarjit

AU - Dupuis, Paul

AU - Maroulas, Vasileios

TI - Variational representations for continuous time processes

JO - Annales de l'I.H.P. Probabilités et statistiques

PY - 2011

PB - Gauthier-Villars

VL - 47

IS - 3

SP - 725

EP - 747

AB - A variational formula for positive functionals of a Poisson random measure and brownian motion is proved. The formula is based on the relative entropy representation for exponential integrals, and can be used to prove large deviation type estimates. A general large deviation result is proved, and illustrated with an example.

LA - eng

KW - variational representations; Poisson random measure; infinite-dimensional brownian motion; large deviations; jump-diffusions; variational representation; infinite-dimensional Brownian motion; stochastic differential equations

UR - http://eudml.org/doc/242555

ER -

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