Variational representations for continuous time processes
Budhiraja, Amarjit ; Dupuis, Paul ; Maroulas, Vasileios
Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011), p. 725-747 / Harvested from Numdam
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Une formule variationnelle pour des fonctionnelles positives d'une mesure de Poisson aléatoire et d'un mouvement brownien est démontrée. Cette formule provient de la représentation des intégrales exponentielles par l'entropie relative, et peut être utilisée pour obtenir des estimées de grandes déviations. Un résultat de grandes déviations général est démontré.

A variational formula for positive functionals of a Poisson random measure and brownian motion is proved. The formula is based on the relative entropy representation for exponential integrals, and can be used to prove large deviation type estimates. A general large deviation result is proved, and illustrated with an example.

Publié le : 2011-01-01
DOI : https://doi.org/10.1214/10-AIHP382
Classification:  60F10,  60G51,  60H15 
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     title = {Variational representations for continuous time processes},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {47},
     year = {2011},
     pages = {725-747},
     doi = {10.1214/10-AIHP382},
     mrnumber = {2841073},
     zbl = {1231.60018},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2011__47_3_725_0}
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Budhiraja, Amarjit; Dupuis, Paul; Maroulas, Vasileios. Variational representations for continuous time processes. Annales de l'I.H.P. Probabilités et statistiques, Tome 47 (2011) pp. 725-747. doi : 10.1214/10-AIHP382. http://gdmltest.u-ga.fr/item/AIHPB_2011__47_3_725_0/

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