On the specific relative entropy between martingale diffusions on the line

DOI10.1214/23-ecp548arXiv2207.03312OpenAlexW4387349943MaRDI QIDQ6177609

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Publication date: 17 January 2024

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.03312

zbMATH Keywords

martingalesdiffusionssmall time asymptoticsspecific relative entropy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Large deviations (60F10) Measures of information, entropy (94A17)

Cites Work

• Unnamed Item
• On the parabolic kernel of the Schrödinger operator
• Large deviations for stationary Gaussian processes
• Optimal Couplings on Wiener Space and An Extension of Talagrand’s Transport Inequality

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