Finite Kullback information diffusion laws with fixed marginals and associated large deviations functionals
type: Item
instance of: scholarly article
title: Finite Kullback information diffusion laws with fixed marginals and associated large deviations functionals
zbMATH Open document ID: 0769.60072
DOI: 10.1016/0304-4149(93)90030-8
author: Marc Brunaud
published in: Stochastic Processes and their Applications
publication date: 1993-05-16T00:00:00Z
review text: A theorem previously proved for the Wiener process on \(C([0,1],\mathbb{R}^ d)\) in [\textit{H. Föllmer}, Calcul de probabilités, Ec. d'Eté, Saint- Floor/Fr. 1985-87, Lect. Notes Math. 1362, 101-203 (1988; Zbl 0661.60063)] is extended to diffusion processes. Therefore, under slightly less general technical assumptions but in its whole generality, a theorem given by \textit{D. A. Dawson} and \textit{J. Gärtner} [Stochastics 20, 247- 308 (1987; Zbl 0613.60021)] is recovered. The result is intimately related with a Venttsel'-Frejdlin action functional associated to some \(N\)-particle system which is driven according to a nonlinear McKean- Vlasov limiting equation.
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 35Q40
zbMATH DE Number: 167140
zbMATH Keywords: Wiener process
zbMATH Keywords: diffusion processes
zbMATH Keywords: Venttsel'-Frejdlin action functional
zbMATH Keywords: McKean-Vlasov limiting equation
reviewed by: Birutė Kryžienė
MaRDI profile type: Publication
full work available at URL: 0304-4149(93)90030-8
OpenAlex ID: W2061038912
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description: scientific article; zbMATH DE number 167140