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

DOI10.1016/J.JFA.2014.07.006zbMATH Open1306.60064arXiv1402.6576OpenAlexW2963849077MaRDI QIDQ457613FDOQ457613

Authors: A. S. Üstünel 

Publication date: 29 September 2014

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

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

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

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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)

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• A variational method for \(\Phi^4_3\)
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• 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

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