A martingale bound for the entropy associated with a trimmed filtration on R^d

DOI10.15559/15-VMSTA16MaRDI QIDQ341089zbMATH OpenOpenAlexFDO

Authors A. M. Kulik, Taras Tymoshkevych

Publication date 16 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.05381

zbMATH Keywords

entropymartingalelog-Sobolev inequalitytrimmed filtrationtrimmed regions

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Brownian motion (60J65) Martingales with continuous parameter (60G44)

Abstract: Using martingale methods, we provide bounds for the entropy of a probability measure on $mathbb{R}^d$ with the right-hand side given in a certain integral form. As a corollary, in the one-dimensional case, we obtain a weighted log-Sobolev inequality.

Recommendations

• scientific article; zbMATH DE number 2112146
• On the minimal entropy martingale measure for Lévy processes
• Filtration shrinkage, strict local martingales and the Föllmer measure
• scientific article; zbMATH DE number 1897417
• The p-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• On the Convergence of thep-Optimal Martingale Measures to the Minimal Entropy Martingale Measure
• The minimal \(\kappa \)-entropy martingale measure
• A note on lower bounds of martingale measure densities

Cites work

• scientific article; zbMATH DE number 3793150 (Why is no real title available?)
• Integration by parts for Poisson processes
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces
• Martingale representation and log-Sobolev inequality on loop space
• Zonoid trimming for multivariate distributions

Cited in

(1)

• A martingale bound for the variation and analogue of the Muckenhoupt criterion for a weighted Poincaré inequality on \(\mathbb R\).

This page was built for publication: A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q341089)