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

Abstract

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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.

How to cite

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Budhiraja, 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 -

References

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