The boundary value problem and the jensen inequality for an entropy functional of a Markov diffusion process

DOI10.1016/j.jmaa.2008.11.038zbMath1163.60038OpenAlexW2072097985MaRDI QIDQ1014673

Vladimir S. Lerner

Publication date: 29 April 2009

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2008.11.038

zbMATH Keywords

entropytransformationboundary problemadditive functionalJensen inequality

Mathematics Subject Classification ID

Diffusion processes (60J60)

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Cites Work

• The Onsager-Machlup function as Lagrangian for the most probable path of a diffusion process
• Solution to the variation problem for information path functional of a controlled random process
• Dynamic approximation of a random information functional
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