Doob decomposition, Dirichlet processes, and entropies on Wiener space

DOI10.1007/978-981-19-4672-1_8zbMath1497.60065OpenAlexW4297571813MaRDI QIDQ2088466

Hans Föllmer

Publication date: 22 October 2022

Full work available at URL: https://doi.org/10.1007/978-981-19-4672-1_8

zbMATH Keywords

relative entropyDirichlet processesoptimal transportTalagrand's inequalityDoob decompositionFukushima decompositioncoupling on Wiener space

Mathematics Subject Classification ID

Brownian motion (60J65) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Large deviations (60F10) Measures and integration on abstract linear spaces (46G12)

Related Items

Intrinsic dimensional functional inequalities on model spaces

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Representation formula for the entropy and functional inequalities
• Weak Dirichlet processes with a stochastic control perspective
• Self-similarity of Brownian motion and a large deviation principle for random fields on a binary tree
• Monge-Kantorovitch measure transportation and Monge-Ampère equation on Wiener space
• Transportation cost for Gaussian and other product measures
• Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
• Quadratic variation and energy
• Les processus de dirichlet et tant qu'espace de banach
• Risk-sensitive stochastic differential games with reflecting diffusions
• The exit measure of a supermartingale
• Optimal Transport