On bounded entropy of solutions of multi-dimensional stochastic differential equations

DOI10.1016/S0167-7152(97)00079-5zbMath0928.60037MaRDI QIDQ1382205

Wolfgang Stummer

Publication date: 6 May 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

entropytime reversalmultidimensional stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Measures of information, entropy (94A17) Martingales and classical analysis (60G46)

Related Items (1)

On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift

Cites Work

• On the transformation of some classes of martingales by a change of law
• The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
• Integration by parts and time reversal for diffusion processes
• Continuous Markov processes and stochastic equations
• On Positive Solutions of the Equation $\mathfrak{A}U + Vu = 0$
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Brownian motion and harnack inequality for Schrödinger operators
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