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

DOI10.15559/15-VMSTA16zbMATH Open1349.60023arXiv1503.05381OpenAlexW3103431800MaRDI QIDQ341089FDOQ341089

Authors: A. M. Kulik, Taras Tymoshkevych 

Publication date: 16 November 2016

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

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.

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

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

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)

Cites Work

• Zonoid trimming for multivariate distributions
• Title not available (Why is that?)
• Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces
• Integration by parts for Poisson processes
• Malliavin's calculus and stochastic integral representations of functional of diffusion processes^†
• Martingale representation and log-Sobolev inequality on loop space

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)