Variational calculation of Laplace transforms via entropy on Wiener space and applications

DOI10.1016/J.JFA.2014.07.006zbMATH Open1306.60064OpenAlexW2963849077MaRDI QIDQ457613FDOQ457613

Authors A. S. Üstünel 

Publication date 29 September 2014

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.6576

zbMATH Keywords

entropyMalliavin calculusstochastic differential equationWiener spacevariational calculusinvertibility

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Let $(W,H,mu)$ be the classical Wiener space where $H$ is the Cameron-Martin space which consists of the primitives of the elements of $L^2([0,1],,dt)otimes{R}^d$, we denote by $L_a^2(mu,H)$ the equivalence classes w.r.t. $dtimesdmu$ whose Lebesgue densities $sodotu(s,w)$ are almost surely adapted to the canonical Brownian filtration. If $f$ is a Wiener functional s.t. $frac1E[e^{-f}]e^{-f}dmu$ is of finite relative entropy w.r.t. $mu$, we prove that �eaa J_star&=& infleft(E_muleft[fcirc U+half |u|_H^2 ight]: uin L_a^2(mu,H) ight)\ &geq&-log E_mu[e^{-f}]=infleft(int_W fdga+H(ga|mu):,

uin P(W) ight) eeaa where $P(W)$ is the set of probability measures on $(W,calB(W))$ and $H(ga|mu)$ is the relative entropy of $ga$ w.r.t. $mu$. We call $f$ a tamed functional if the inequality above can be replaced with equality, we characterize the class of tamed functionals, which is much larger than the set of essentially bounded Wiener functionals. We show that for a tamed functional the minimization problem of l.h.s. has a solution $u_0$ if and only if $U_0=I_W+u_0$ is almost surely invertible and ${\displaystyle }$ frac{dU_0mu}{dmu}=frac{e^{-f}}{E_mu[e^{-f}]} ${\displaystyle }$ and then $u_0$ is unique. To do this is we prove the theorem which says that the relative entropy of $U_{0}mu$ is equal to the energy of $u_0$ if and only if it has a $mu$-a.s. left inverse. We use these results to prove the strong existence of the solutions of stochastic differentail equations with singular (functional) drifts and also to prove the non-existence of strong solutions of some stochastic differential equations.

oindent {sl Keywords:} Invertibility, entropy, Girsanov theorem, variational calculus, Malliavin calculus, large deviations

Recommendations

• Entropy, invertibility and variational calculus of adapted shifts on Wiener space
• scientific article; zbMATH DE number 203210
• On transformations of Wiener space
• A variational representation for random functionals on abstract Wiener spaces
• Some results on entropy in Wiener space

Cites Work

• scientific article; zbMATH DE number 3896050 (Why is no real title available?)
• scientific article; zbMATH DE number 3727272 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 522891 (Why is no real title available?)
• A variational representation for certain functionals of Brownian motion
• An Example of a Stochastic Differential Equation Having No Strong Solution
• An introduction to analysis on Wiener space
• Entropy, invertibility and variational calculus of adapted shifts on Wiener space
• Persistence of invertibility in the Wiener space
• Representation of the distributions on Wiener space and stochastic calculus of variations
• Solution of the Monge-Ampère equation on Wiener space for general log-concave measures
• The construction of filtrations on abstract Wiener space
• The notion of convexity and concavity on Wiener space
• The realization of positive random variables via absolutely continuous transformations of measure on Wiener space

Cited In (17)

• On global solutions of the random Hamilton-Jacobi equations and the KPZ problem
• Invariant Gibbs dynamics for the two-dimensional Zakharov-Yukawa system
• Gibbs measure for the focusing fractional NLS on the torus
• Quasi-invariant Gaussian measures for the nonlinear wave equation in three dimensions
• Invariant Gibbs measure for a Schrödinger equation with exponential nonlinearity
• A variational method for \(\Phi^4_3\)
• Entropy, invertibility and variational calculus of adapted shifts on Wiener space
• KPZ reloaded
• The KPZ equation on the real line
• Phase transitions for \(\phi^4_3\)
• Entropy and density approximation from Laplace transforms
• Martingale representation for degenerate diffusions
• Optimal transport maps on infinite dimensional spaces
• The Boué-Dupuis formula and the exponential hypercontractivity in the Gaussian space
• On the variational method for Euclidean quantum fields in infinite volume
• Transport of Gaussian measures under the flow of one-dimensional fractional nonlinear Schrödinger equations
• Causal transport plans and their Monge-Kantorovich problems

This page was built for publication: Variational calculation of Laplace transforms via entropy on Wiener space and applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q457613)