The boundary value problem and the jensen inequality for an entropy functional of a Markov diffusion process
type: Item
instance of: scholarly article
title: The boundary value problem and the jensen inequality for an entropy functional of a Markov diffusion process
zbMATH Open document ID: 1163.60038
author: Vladimir S. Lerner
published in: Journal of Mathematical Analysis and Applications
publication date: 2009-04-29T00:00:00Z
review text: The author obtains new representation results on the entropy functional associated to a controlled diffusion process through the parameters of the stochastic equation therein.
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 5549413
zbMATH Keywords: additive functional
zbMATH Keywords: transformation
zbMATH Keywords: entropy
zbMATH Keywords: boundary problem
zbMATH Keywords: Jensen inequality
reviewed by: George Stoica
MaRDI profile type: Publication
full work available at URL: j.jmaa.2008.11.038
OpenAlex ID: W2072097985
cites work: Q4055540
cites work: The Onsager-Machlup function as Lagrangian for the most probable path of a diffusion process
cites work: Q4709348
cites work: Q3274458
cites work: Q3252166
cites work: Q4174610
cites work: Q3910361
cites work: Dynamic approximation of a random information functional
cites work: Solution to the variation problem for information path functional of a controlled random process
cites work: Q3966610
DOI: 10.1016/J.JMAA.2008.11.038
description: scientific article; zbMATH DE number 5549413