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- W1493843358 abstract "We extend to abstract Wiener spaces the variational representation [ mathbb{E}[e^{F}] = exp left( sup_{vinmathcal{H}^a}mathbf{E} left[ F(cdot +v) - frac{1}{2}|v|^2_{mathbb{H}} right] right), ] proved by Boué and Dupuis [1] on the classical Wiener space. Here $F$ is any bounded measurable function on the abstract Wiener space $(mathbb{W},mathbb{H},mu)$, and $mathcal{H}^a$ denotes the space of $mathcal{F}_t$-adapted $mathbb{H}$-valued random fields in the sense of Üstünel and Zakai [11]. In particular, we simplify the proof of the lower bound given in [1, 3] by using the Clark-Ocone formula. As an application, a uniformly Laplace principle is established." @default.
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- W1493843358 date "2009-01-01" @default.
- W1493843358 modified "2023-09-27" @default.
- W1493843358 title "A variational representation for random functionals on abstract Wiener spaces" @default.
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- W1493843358 doi "https://doi.org/10.1215/kjm/1260975036" @default.
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