A variational representation for certain functionals of Brownian motion

From MaRDI portal

Publication:1307458

Jump to:navigation, search

DOI10.1214/aop/1022855876zbMath0936.60059OpenAlexW1587955208MaRDI QIDQ1307458

Paul Dupuis, Michelle Boué

Publication date: 9 May 2000

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1022855876

zbMATH Keywords

relative entropy Brownian motion large deviations variational representation

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Large deviations (60F10) Stochastic analysis (60H99)

Related Items

Large deviation principles of 2D stochastic Navier–Stokes equations with Lévy noises ⋮ Gibbs Measure for the Focusing Fractional NLS on the Torus ⋮ Optimal Ergodic Harvesting under Ambiguity ⋮ Sample path large deviations for the multiplicative Poisson shot noise process with compensation ⋮ Overcoming the timescale barrier in molecular dynamics: Transfer operators, variational principles and machine learning ⋮ Multiscale coupling and the maximum of \(\mathcal{P}(\phi)_2\) models on the torus ⋮ Protecting pegged currency markets from speculative investors ⋮ Large deviation principle for a class of stochastic hydrodynamical type systems driven by multiplicative Lévy noises ⋮ Lyapunov exponents in a slow environment ⋮ Importance sampling for the empirical measure of weakly interacting diffusions ⋮ Invariant Gibbs dynamics for the two-dimensional Zakharov-Yukawa system ⋮ Large Deviations for Stochastic Generalized Porous Media Equations Driven by Lévy Noise ⋮ Optimal Dividends Under Model Uncertainty ⋮ Moderate deviations for systems of slow-fast stochastic reaction-diffusion equations ⋮ Reflecting image-dependent SDEs in Wasserstein space and large deviation principle ⋮ Dynamics and Large Deviations for Fractional Stochastic Partial Differential Equations with Lévy Noise ⋮ Unnamed Item ⋮ Large deviations for a stochastic Cahn–Hilliard equation in Hölder norm ⋮ A class of Langevin equations with Markov switching involving strong damping and fast switching ⋮ Asymptotic behavior of the weak approximation to a class of Gaussian processes ⋮ Moderate deviation principle for multiscale systems driven by fractional Brownian motion ⋮ Variational approach to rare event simulation using least-squares regression ⋮ Large Deviations for Stochastic Fractional Differential Equations ⋮ Uniform large deviation principles for Banach space valued stochastic evolution equations ⋮ Transport of Gaussian measures under the flow of one-dimensional fractional nonlinear Schrödinger equations ⋮ Asymptotic behavior of stochastic currents under large deviation scaling with mean field interaction and vanishing noise ⋮ Large Deviations for Nonlinear Ito Type Stochastic Integrodifferential Equations ⋮ Large deviation principles for 3D stochastic primitive equations ⋮ Some Large Deviation Asymptotics in Small Noise Filtering Problems ⋮ Invariant Gibbs measures for the three-dimensional wave equation with a Hartree nonlinearity. I: measures ⋮ Solving high-dimensional Hamilton-Jacobi-Bellman PDEs using neural networks: perspectives from the theory of controlled diffusions and measures on path space ⋮ Moderate deviation principles for weakly interacting particle systems ⋮ Moderate deviations for stochastic Kuramoto–Sivashinsky equation ⋮ A Koopman framework for rare event simulation in stochastic differential equations ⋮ Rare event asymptotics for exploration processes for random graphs ⋮ Large and moderate deviations for stochastic Volterra systems ⋮ Forests, cumulants, martingales ⋮ Some recent developments in functional inequalities ⋮ Large deviation principle for stochastic integrals and stochastic differential equations driven by infinite-dimensional semimartingales ⋮ Phase transitions for \(\phi^4_3\) ⋮ Large deviations for the empirical measure of a diffusion via weak convergence methods ⋮ Stochastic Volterra equations in Banach spaces and stochastic partial differential equation ⋮ Connections between stochastic control and dynamic games ⋮ Quasi-invariant Gaussian measures for the nonlinear wave equation in three dimensions ⋮ Central limit theorem and moderate deviations for a class of semilinear stochastic partial differential equations ⋮ Variational approximation for Fokker-Planck equation on Riemannian manifold ⋮ Exit time asymptotics for small noise stochastic delay differential equations ⋮ Central limit theorem and moderate deviation principle for stochastic scalar conservation laws ⋮ Nonexponential Sanov and Schilder theorems on Wiener space: BSDEs, Schrödinger problems and control ⋮ A large deviations analysis of certain qualitative properties of parallel tempering and infinite swapping algorithms ⋮ Representation formula for the entropy and functional inequalities ⋮ On Large Deviations for Small Noise Itô Processes ⋮ Large deviations for two-time-scale diffusions, with delays ⋮ Large deviation principles for first-order scalar conservation laws with stochastic forcing ⋮ The Borell-Ehrhard game ⋮ A new approach to large deviations for the Ginzburg-Landau model ⋮ Large deviations for 2-D stochastic Navier-Stokes equations driven by multiplicative \textit{Lévy} noises ⋮ Equivalences and counterexamples between several definitions of the uniform large deviations principle ⋮ Large deviations for multivalued stochastic differential equations ⋮ Large deviations for synchronized system ⋮ Large deviation principle for diffusion processes under a sublinear expectation ⋮ On the martingale property in the rough Bergomi model ⋮ Uniform large deviations for a class of Burgers-type stochastic partial differential equations in any space dimension ⋮ Well-posedness and large deviation for degenerate SDEs with Sobolev coefficients ⋮ Large deviations for multiscale diffusion via weak convergence methods ⋮ Large deviations for the Langevin equation with strong damping ⋮ Large deviations and importance sampling for systems of slow-fast motion ⋮ Large deviations for interacting particle systems: joint mean-field and small-noise limit ⋮ Large deviations for stochastic porous media equation on general measure spaces ⋮ Stochastic 2D primitive equations: central limit theorem and moderate deviation principle ⋮ Rare event simulation via importance sampling for linear SPDE's ⋮ Uniform large deviations for multivalued stochastic differential equations with Poisson jumps ⋮ Large deviations for optimal filtering with fractional Brownian motion ⋮ Variational calculation of Laplace transforms via entropy on Wiener space and applications ⋮ Density and gradient estimates for non degenerate Brownian SDEs with unbounded measurable drift ⋮ A variational method for \(\Phi^4_3\) ⋮ Large deviation principles for the stochastic quasi-geostrophic equations ⋮ Explicit solution of relative entropy weighted control ⋮ Euler schemes and large deviations for stochastic Volterra equations with singular kernels ⋮ On regularity of invariant measures of multivalued stochastic differential equations ⋮ On the form of the large deviation rate function for the empirical measures of weakly interacting systems ⋮ Freidlin-Wentzell's large deviations for stochastic evolution equations ⋮ Large deviation properties of weakly interacting processes via weak convergence methods ⋮ Causal transport plans and their Monge–Kantorovich problems ⋮ On global solutions of the random Hamilton–Jacobi equations and the KPZ problem ⋮ Information projection on Banach spaces with applications to state independent KL-weighted optimal control ⋮ Large deviations for fractional volatility models with non-Gaussian volatility driver ⋮ KPZ reloaded ⋮ Importance sampling in path space for diffusion processes with slow-fast variables ⋮ Regularization under diffusion and anticoncentration of the information content ⋮ Quantitative Differentiation: A General Formulation ⋮ Rare Event Simulation of Small Noise Diffusions ⋮ Large deviations for small noise diffusions in a fast Markovian environment ⋮ Inhomogeneous functionals and approximations of invariant distributions of ergodic diffusions: central limit theorem and moderate deviation asymptotics ⋮ The full replica symmetry breaking in the Ising spin glass on random regular graph ⋮ Large deviations for stochastic tamed 3D Navier-Stokes equations ⋮ Exit time and invariant measure asymptotics for small noise constrained diffusions ⋮ Schilder theorem for the Brownian motion on the diffeomorphism group of the circle ⋮ Large deviation principles of obstacle problems for quasilinear stochastic PDEs ⋮ Large deviations of empirical measures of diffusions in weighted topologies ⋮ Euclidean forward-reverse Brascamp-Lieb inequalities: finiteness, structure, and extremals ⋮ Moderate deviations for recursive stochastic algorithms ⋮ Variational representations for continuous time processes ⋮ The KPZ equation on the real line ⋮ Large deviations for multidimensional state-dependent shot-noise processes ⋮ A dynamic programming approach to the Parisi functional ⋮ Large deviation principles for Langevin equations in random environment and applications ⋮ Large deviations for Brownian particle systems with killing ⋮ Large deviations for stochastic porous media equations ⋮ Large deviations for a class of semilinear stochastic partial differential equations ⋮ Global well-posedness and large deviations for 3D stochastic Burgers equations ⋮ Escaping from an attractor: Importance sampling and rest points. I. ⋮ Clark-Ocone formula and variational representation for Poisson functionals ⋮ Large deviation principle for stochastic convective Brinkman-Forchheimer equations perturbed by pure jump noise ⋮ Entropy, invertibility and variational calculus of adapted shifts on Wiener space ⋮ Large deviations for quasilinear parabolic stochastic partial differential equations ⋮ Moderate deviations for a stochastic Burgers equation ⋮ Analysis of stochastic neutral fractional functional differential equations ⋮ The emergence of the order parameter in the interpolating replica trick for disordered statistical mechanics systems ⋮ Freidlin-Wentzell's large deviations for homeomorphism flows of non-Lipschitz SDEs ⋮ Large deviations for stochastic fractional integrodifferential equations ⋮ The Parisi formula has a unique minimizer ⋮ Large deviations of mean-field stochastic differential equations with jumps ⋮ Bayesian learning via neural Schrödinger-Föllmer flows ⋮ The Boué-Dupuis formula and the exponential hypercontractivity in the Gaussian space ⋮ Large deviation principle for stochastic heat equation with memory ⋮ Empirical measure and small noise asymptotics under large deviation scaling for interacting diffusions

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1307458&oldid=13421151"