Representations for Functionals of Hilbert Space Valued Diffusions

نویسندگان

  • Amarjit Budhiraja
  • Paul Dupuis
چکیده

This paper contains two main results. The first is a variational representation for the expectation of a measurable function of a Hilbert space valued Brownian motion, when the function is uniformly positive and bounded from above and the Brownian motion has a trace class covariance. This representation is then applied to derive the second main result, which is the large deviation principle for a class of Hilbert space valued diffusions with small noise.

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تاریخ انتشار 2000