A variational representation for positive functionals of infinite dimensional Brownian motion (Q2772038)
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scientific article; zbMATH DE number 1706581
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| English | A variational representation for positive functionals of infinite dimensional Brownian motion |
scientific article; zbMATH DE number 1706581 |
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18 February 2002
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large deviations
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Laplace principle
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stochastic control
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cylindrical Brownian motion
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stochastic evolution equations
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infinite-dimensional stochastic calculus
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A variational representation for positive functionals of infinite dimensional Brownian motion (English)
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Let \(H\) be a separable Hilbert space and \(W\) a Wiener process with values in \(H\). The authors derive a variational representation for positive functionals of \(W\). Using the techniques developed by \textit{P. Dupuis} and \textit{R. S. Ellis} [``A weak convergence approach to the theory of large deviations'' (1997; Zbl 0904.60001)], they obtain Freidlin-Wentzell type large deviation results for (infinite-dimensional) stochastic differential equations driven by a small noise, infinite-dimensional Wiener process.
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