Abstract
In this paper, we show, following K. Hara and Y. Takahashi [7], how the stochastic Stokes theorem and the Kunita-Watanabe theorem on orthogonal martingales may be used to produce a general and easy computation of the Onsager-Machlup functional of an elliptic diffusion process, even for large classes of norms in Wiener space.
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Capitaine, M. (2000). On the Onsager-Machlup functional for elliptic diffusion processes. In: Azéma, J., Ledoux, M., Émery, M., Yor, M. (eds) Séminaire de Probabilités XXXIV. Lecture Notes in Mathematics, vol 1729. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0103810
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DOI: https://doi.org/10.1007/BFb0103810
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