Invertibility of adapted perturbations of the identity on abstract Wiener space

DOI10.1016/J.JFA.2011.12.025MaRDI QIDQ765907zbMATH OpenOpenAlexFDO

Authors Rémi Lassalle

Publication date 22 March 2012

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

Full work available at URL https://doi.org/10.1016/j.jfa.2011.12.025

zbMATH Keywords

entropyinvertibilityMalliavin calculusstrong solutionsWasserstein distanceWiener measure

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65)

Review text

This paper is an extension of the results published in [\textit{A. S. Üstünel}, J. Funct. Anal. 257, No. 11, 3655--3689 (2009; Zbl 1196.60104)] to the context of abstract Wiener spaces \((W, H, \mu)\) which satisfy the assumption that there exists a continuous and increasing sequence of projections on \(H\). This increasing resolution of the identity on \(H\) was used also in [\textit{A. S. Üstünel} and \textit{M. Zakai}, J. Funct. Anal. 143, No. 1, 10--32 (1997; Zbl 0873.60039)] to define the arrow of time, since the abstract Wiener space, unlike the classical Wiener space, does not possess a natural notion of time. The invertibility of an adapted perturbation of the identity is related to to the equality between the energy of the signal and the relative entropy of the measure it induces. This result is also extended to a probability measure which is absolutely continuous with respect to the Wiener measure and has finite entropy. The author also discusses the relation between the adapted perturbations of the identity problem, the Monge problem and the innovation conjecture.

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Cited in

(14)

• Entropy, invertibility and variational calculus of adapted shifts on Wiener space
• An intrinsic calculus of variations for functionals of laws of semi-martingales
• Optimal transport maps on infinite dimensional spaces
• The invertibility of adapted perturbations of identity on the Wiener space
• Sufficient conditions for the invertibility of adapted perturbations of identity on the Wiener space
• Persistence of invertibility in the Wiener space
• Local Invertibility of Adapted Shifts on Wiener Space and Related Topics
• A representation of the relative entropy with respect to a diffusion process in terms of its infinitesimal generator
• Causal transport plans and their Monge-Kantorovich problems
• On the form of the large deviation rate function for the empirical measures of weakly interacting systems
• On the stochastic least action principle for the Navier-Stokes equation
• Local invertibility of adapted shifts on Wiener space, under finite energy condition
• Average preserving variation processes in view of optimization
• A necessary and sufficient condition for invertibility of adapted perturbations of identity on Wiener space

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