The Boué-Dupuis formula and the exponential hypercontractivity in the Gaussian space

DOI10.1214/22-ECP461zbMATH Open1484.60091arXiv2110.14852OpenAlexW3208214397WikidataQ115517644 ScholiaQ115517644MaRDI QIDQ2113274FDOQ2113274

Authors: Yuu Hariya, Sou Watanabe 

Publication date: 11 March 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: This paper concerns a variational representation formula for Wiener functionals. Let $B={B_t}_{tge0}$ be a standard $d$-dimensional Brownian motion. Bou'e and Dupuis (1998) showed that, for any bounded measurable functional $F(B)$ of $B$ up to time $1$, the expectation $mathbbE!left[e^{F(B)}ight]$ admits a variational representation in terms of drifted Brownian motions. In this paper, with a slight modification of insightful reasoning by Lehec (2013) allowing also $F(B)$ to be a functional of $B$ over the whole time interval, we prove that the Bou'e--Dupuis formula holds true provided that both $e^{F(B)}$ and $F(B)$ are integrable, relaxing conditions in earlier works. We also show that the formula implies the exponential hypercontractivity of the Ornstein--Uhlenbeck semigroup in $mathbb{R}^d$, and hence, due to their equivalence, implies the logarithmic Sobolev inequality in the $d$-dimensional Gaussian space.

Full work available at URL: https://arxiv.org/abs/2110.14852

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zbMATH Keywords

Ornstein-Uhlenbeck semigroupvariational representationWiener functionalexponential hypercontractivity

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65)

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Cited In (1)

• On Gibbs measures and topological solitons of exterior equivariant wave maps

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