Minimization of the Kullback information of diffusion processes

zbMath0790.60032MaRDI QIDQ1316642

Christian Léonard, Patrick Cattiaux

Publication date: 18 April 1994

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1994__30_1_83_0

zbMATH Keywords

relative entropylarge deviationsGirsanov transformationFöllmer measureKullback informationconservative diffusionsmeasure valued empirical process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Large deviations (60F10) Stochastic integrals (60H05) Multiplicative functionals and Markov processes (60J57)

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