A martingale bound for the entropy associated with a trimmed filtration on \(\mathbb{R}^d\)

DOI10.15559/15-VMSTA16zbMath1349.60023arXiv1503.05381OpenAlexW3103431800MaRDI QIDQ341089

Alexei M. Kulik, Taras D. Tymoshkevych

Publication date: 16 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1503.05381

zbMATH Keywords

entropymartingalelog-Sobolev inequalitytrimmed filtrationtrimmed regions

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

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