A Variational Characterization of Langevin-Smoluchowski Diffusions

DOI10.1007/978-3-030-98519-6_10zbMath1504.93398arXiv2010.04847OpenAlexW4225572820MaRDI QIDQ5050087

Bertram Tschiderer, Ioannis Karatzas

Publication date: 15 November 2022

Published in: Stochastic Analysis, Filtering, and Stochastic Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.04847

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Measures of information, entropy (94A17) Fokker-Planck equations (35Q84)

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