The boundary value problem and the jensen inequality for an entropy functional of a Markov diffusion process
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Publication:1014673
DOI10.1016/j.jmaa.2008.11.038zbMath1163.60038MaRDI QIDQ1014673
Publication date: 29 April 2009
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.11.038
60J60: Diffusion processes
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Cites Work
- The Onsager-Machlup function as Lagrangian for the most probable path of a diffusion process
- Solution to the variation problem for information path functional of a controlled random process
- Dynamic approximation of a random information functional
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