Minimization of the Kullback information of diffusion processes

Patrick Cattiaux; Christian Léonard

Annales de l'I.H.P. Probabilités et statistiques (1994)

  • Volume: 30, Issue: 1, page 83-132
  • ISSN: 0246-0203

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Cattiaux, Patrick, and Léonard, Christian. "Minimization of the Kullback information of diffusion processes." Annales de l'I.H.P. Probabilités et statistiques 30.1 (1994): 83-132. <http://eudml.org/doc/77476>.

@article{Cattiaux1994,
author = {Cattiaux, Patrick, Léonard, Christian},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {relative entropy; Föllmer measure; Girsanov transformation; Kullback information; large deviations; measure valued empirical process; conservative diffusions},
language = {eng},
number = {1},
pages = {83-132},
publisher = {Gauthier-Villars},
title = {Minimization of the Kullback information of diffusion processes},
url = {http://eudml.org/doc/77476},
volume = {30},
year = {1994},
}

TY - JOUR
AU - Cattiaux, Patrick
AU - Léonard, Christian
TI - Minimization of the Kullback information of diffusion processes
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1994
PB - Gauthier-Villars
VL - 30
IS - 1
SP - 83
EP - 132
LA - eng
KW - relative entropy; Föllmer measure; Girsanov transformation; Kullback information; large deviations; measure valued empirical process; conservative diffusions
UR - http://eudml.org/doc/77476
ER -

References

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Citations in EuDML Documents

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  1. Vladimir I. Bogachev, Nicolai V. Krylov, Michael Röckner, Elliptic regularity and essential self-adjointness of Dirichlet operators on n
  2. Liming Wu, Quelques problèmes associés au processus de Donsker-Varadhan
  3. Christian Léonard, Large deviations for long range interacting particle systems with jumps
  4. E. Pardoux, R. J. Williams, Symmetric reflected diffusions
  5. Patrick Cattiaux, Christian Léonard, Minimization of the Kullback information for some Markov processes

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