Evaluation of extreme values of entropy functionals

DOI10.1090/TPMS/1090MaRDI QIDQ5218389zbMATH OpenOpenAlexFDO

Authors H. S. Zhelezniak, Yuliya S. Mishura

Publication date 3 March 2020

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/tpms/1090

zbMATH Keywords

entropy functionalmaximizationminimizationRadon-Nikodym derivativesum of two Wiener processes

Mathematics Subject Classification ID

Stochastic integrals (60H05) Brownian motion (60J65) Measures of information, entropy (94A17)

Recommendations

• scientific article; zbMATH DE number 6987429
• An extremum problem for some class of Brownian motions with drifts
• Minimization of the entropy for a mixture of standard and fractional Brownian motions
• scientific article; zbMATH DE number 3139246
• Some results on entropy in Wiener space

Cites work

• scientific article; zbMATH DE number 6987429 (Why is no real title available?)
• Minimization of entropy functionals
• Stochastic finance. An introduction in discrete time

Cited in

(3)

• Minimization of the entropy for a mixture of standard and fractional Brownian motions
• scientific article; zbMATH DE number 6987429 (Why is no real title available?)
• scientific article; zbMATH DE number 2226809 (Why is no real title available?)

This page was built for publication: Evaluation of extreme values of entropy functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5218389)