The Onsager-Machlup action functional for degenerate stochastic differential equations in a class of norms

被引：1

作者：

Liu, Shanqi ^{[1
]}

Gao, Hongjun ^{[2
]}

机构：

[1] Nanjing Normal Univ, Sch Math Sci, Nanjing 210023, Peoples R China

[2] Southeast Univ, Sch Math, Nanjing 211189, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2024年 / 206卷

关键词：

Onsager-Machlup action functional; Degenerate stochastic differential equations; Girsanov transformation; FLUCTUATIONS;

D O I：

10.1016/j.spl.2023.110009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this note, we show that the existence of the Onsager-Machlup action functional for degenerate stochastic differential equations in a large class of norms. The main ingredient of the proof is Girsanov transformation and some classical conditioned exponential inequalities.

引用

页数：9

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