Representations for functionals of Hilbert space valued diffusions
For a Hilbert space valued Brownian motion \(W\) with trace class covariance and a bounded, measurable function \(f\), the authors give a variational representation for \(\log E[\exp(-f(W))]\). This extends the corresponding result for the finite-dimensional case which was shown by Boué and Dupuis. On the way to prove this extension, tightness results for Hilbert space valued diffusions are obtained. The authors then apply this representation to derive a large deviation principle for Hilbert space valued diffusions with small noise. For the entire collection see [Zbl 0905.00042].
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