Variational calculation of Laplace transforms via entropy on Wiener space and applications (Q457613)

From MaRDI portal
Revision as of 18:13, 9 December 2024 by Import241208061232 (talk | contribs) (Normalize DOI.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Variational calculation of Laplace transforms via entropy on Wiener space and applications
scientific article

    Statements

    Variational calculation of Laplace transforms via entropy on Wiener space and applications (English)
    0 references
    29 September 2014
    0 references
    Consider the standard Wiener space \((W,H,\mu)\) for \(W=C([0,1],R^d)\), \(H\) the Cameron-Martin space, and \(\mu\) the Wiener measure. Heuristically, for a functional \(f\), there is equivalence between the minimisation problems \[ \inf_u E_\mu\Bigl[f\circ(I_W+u)+\frac{1}{2}|u|_H^2\Bigr] \] for adapted \(u\) in \(H\), and \[ \inf_\gamma\Bigl(\int f\,d\gamma+H(\gamma|\mu)\Bigr) \] for probability measures \(\gamma\) on \(W\), where \(H(\cdot|\cdot)\) denotes the relative entropy. The question is to know whether this heuristic equivalence holds true. It is proved (under adequate assumptions) that the first infimum is not smaller than the second one, and \(f\) is said to be a tamed functional if the two infima are equal. The class of tamed functionals is characterised, and for these functionals, it is proved that the existence of a process \(u_0\) realizing the infimum is equivalent to the almost sure invertibility of \(U_0=I_W+u_0\); this invertibility can be interpreted in terms of the existence of a strong solution to some stochastic differential equation.
    0 references
    0 references
    variational calculus
    0 references
    Malliavin calculus
    0 references
    Wiener space
    0 references
    invertibility
    0 references
    entropy
    0 references
    stochastic differential equation
    0 references

    Identifiers