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Some Properties of Path Measures

Part of the Lecture Notes in Mathematics book series (SEMPROBAB,volume 2123)

Abstract

We call any measure on a path space, a path measure. Some notions about path measures which appear naturally when solving the Schrödinger problem are presented and worked out in detail.

Keywords

  • Unbounded measure
  • Conditional expectation
  • Relative entropy
  • Stochastic processes
  • Schrödinger problem

AMS classification (2010):

  • 28A50
  • 60J25

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References

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Correspondence to Christian Léonard .

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© 2014 Springer International Publishing Switzerland

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Léonard, C. (2014). Some Properties of Path Measures. In: Donati-Martin, C., Lejay, A., Rouault, A. (eds) Séminaire de Probabilités XLVI. Lecture Notes in Mathematics(), vol 2123. Springer, Cham. https://doi.org/10.1007/978-3-319-11970-0_8

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