On bounded entropy of solutions of multi-dimensional stochastic differential equations

DOI10.1016/S0167-7152(97)00079-5MaRDI QIDQ1382205zbMATH OpenFDO

Authors W. Stummer

Publication date 6 May 1998

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(97)00079-5

zbMATH Keywords

entropymultidimensional stochastic differential equationstime reversal

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Measures of information, entropy (94A17)

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Cites work

• Brownian motion and harnack inequality for Schrödinger operators
• Continuous Markov processes and stochastic equations
• scientific article; zbMATH DE number 3883353 (Why is no real title available?)
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• scientific article; zbMATH DE number 52577 (Why is no real title available?)
• scientific article; zbMATH DE number 3215021 (Why is no real title available?)
• scientific article; zbMATH DE number 3094624 (Why is no real title available?)
• Integration by parts and time reversal for diffusion processes
• On Positive Solutions of the Equation $\mathfrak{A}U + Vu = 0$
• On the transformation of some classes of martingales by a change of law
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift

Cited in

(2)

• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift

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