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Variational representations for continuous time processes

Amarjit Budhiraja, Paul Dupuis, Vasileios Maroulas (2011)

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

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.

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