REGULARITY PROPERTIES OF THE DONSKER–VARADHAN RATE FUNCTIONAL FOR NON-REVERSIBLE DIFFUSIONS AND RANDOM EVOLUTIONS

DOI10.1142/S0219493707001998MaRDI QIDQ3595334zbMATH OpenOpenAlexFDO

Authors Ross G. Pinsky

Publication date 10 August 2007

Published in Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219493707001998

zbMATH Keywords

large deviationsrate functionrandom evolutionsI-function

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes and stochastic analysis on manifolds (58J65)

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Cites work

• Asymptotic evaluation of certain markov process expectations for large time, I
• Functional Integration and Partial Differential Equations. (AM-109)
• On evaluating the Donsker-Varadhan I-function
• On the principal eigenvalue of second-order elliptic differential operators
• The I-function for diffusion processes with boundaries

Cited in

(8)

• The boundary value problem and the jensen inequality for an entropy functional of a Markov diffusion process
• On Donsker-Varadhan’s Entropy and its Application
• The rate function of hypoelliptic diffusions
• Some problems associated with Donsker-Varadhan processes
• Large-deviation principles of switching Markov processes via Hamilton-Jacobi equations
• Large deviations of empirical measures of diffusions in weighted topologies
• Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure
• Large deviations for Markov processes with switching and homogenisation via Hamilton-Jacobi-Bellman equations

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