Séminaire de Probabilités XLVI pp 105-123

Part of the Lecture Notes in Mathematics book series (LNM, volume 2123) | Cite as

Onsager-Machlup Functional for Uniformly Elliptic Time-Inhomogeneous Diffusion

Chapter

Abstract

In this paper, we will compute the Onsager-Machlup functional of an inhomogeneous uniformly elliptic diffusion process. This functional is very similar to the corresponding functional for homogeneous diffusions; indeed, the only difference come from the infinitesimal variation of the volume. We will also use the Onsager-Machlup functional to study small ball probability for weighted sup-norm of some inhomogeneous diffusion.

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  1. 1.Institut Élie Cartan de LorraineVandœuvre-lès-NancyFrance

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