Variational representations for continuous time processes
نویسندگان
چکیده
منابع مشابه
Variational Representations for Continuous Time Processes
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. 1 Introduction In this paper we prove a variational representation for...
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ژورنال
عنوان ژورنال: Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
سال: 2011
ISSN: 0246-0203
DOI: 10.1214/10-aihp382