Variational calculus for diffusions

Abstract

We expand the classic variational formulation of $-\log \mathbb{E}\left[e^{-f}\right]$ to the case where f depends on a diffusion, and not only a on Brownian motion, while decreasing the integrability hypothesis on f. We also give an entropic characterisation of the invertibility of a perturbation of a diffusion and discuss the attainability of the infimum in the aforementioned variational formulation.

arXiv admin note: substantial text overlap with arXiv:1607.05542, arXiv:1607.05555