A variational representation for positive functionals of infinite dimensional Brownian motion

• Autorzy: Budhira A. , Dupuis P.
• Języki publikacji: EN

Abstrakty

EN

A variational representation for positive functionals of a Hilbert space valued Wiener process (W(-)) is proved. This representation is then used to prove a large deviations principle for the family {G^ε(W{‧))} _ε>0 where G is an appropriate family of measurable maps from the Wiener space to some Polish space.

Słowa kluczowe

EN

Large deviations; Laplace principle, stochastic control; cylindrical Brownian motion; stochastic evolution equations; infinite dimensional stochastic calculus

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2000
• Tom: Vol. 20, Fasc. 1
• Strony: 39--61
• Opis fizyczny: Bibliogr. 25 poz.

Twórcy

autor

Budhira A.

• Department of Mathematics, University of Notre Dame, Notre Dame, IN 46656, USA

autor

Dupuis P.

• Lefschetz Center for Dynamical Systems, Brown University, Providence, RI 02912, USA

Bibliografia

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