Girsanov Theory Under a Finite Entropy Condition

DOI10.1007/978-3-642-27461-9_20zbMATH Open1253.60051arXiv1101.3958OpenAlexW1651825204MaRDI QIDQ2908752FDOQ2908752

Christian Léonard

Publication date: 29 August 2012

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Abstract: This paper is about Girsanov's theory. It (almost) doesn't contain new results but it is based on a simplified new approach which takes advantage of the (weak) extra requirement that some relative entropy is finite. Under this assumption, we present and prove all the standard results pertaining to the absolute continuity of two continuous-time processes with or without jumps. We have tried to give as much as possible a self-contained presentation. The main advantage of the finite entropy strategy is that it allows us to replace martingale representation results by the simpler Riesz representations of the dual of a Hilbert space (in the continuous case) or of an Orlicz function space (in the jump case).

Full work available at URL: https://arxiv.org/abs/1101.3958

zbMATH Keywords

stochastic processesrelative entropydiffusion processesprocesses with jumpsGirsanov's theory

Mathematics Subject Classification ID

Diffusion processes (60J60) General theory of stochastic processes (60G07)

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Cited In (23)

• The mean field Schrödinger problem: ergodic behavior, entropy estimates and functional inequalities
• Causal optimal transport and its links to enlargement of filtrations and continuous-time stochastic optimization
• From second-order differential geometry to stochastic geometric mechanics
• Time Reversal of diffusion processes under a finite entropy condition
• Weak semiconvexity estimates for Schrödinger potentials and logarithmic Sobolev inequality for Schrödinger bridges
• Fluctuations of bridges, reciprocal characteristics and concentration of measure
• An entropic interpolation problem for incompressible viscous fluids
• Self-improvement of the Bakry-Emery criterion for Poincaré inequalities and Wasserstein contraction using variable curvature bounds
• A gradient flow approach to large deviations for diffusion processes
• An entropy minimization approach to second-order variational mean-field games
• A survey of the Schrödinger problem and some of its connections with optimal transport
• Gradient estimates for the Schrödinger potentials: convergence to the Brenier map and quantitative stability
• Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions
• Feynman-Kac formula under a finite entropy condition
• On the Existence of a Scalar Pressure Field in the Brödinger Problem
• Time reversal of Markov processes with jumps under a finite entropy condition
• Entropic turnpike estimates for the kinetic Schrödinger problem
• Propagation of chaos: a review of models, methods and applications. I: Models and methods
• Brenier–Schrödinger problem on compact manifolds with boundary
• About the analogy between optimal transport and minimal entropy
• What is a stochastic Hamiltonian process on finite graph? An optimal transport answer
• Lazy random walks and optimal transport on graphs
• Toward a mathematical theory of trajectory inference

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