{
  "id": "1607.05555",
  "version": "v1",
  "published": "2016-07-19T12:45:38.000Z",
  "updated": "2016-07-19T12:45:38.000Z",
  "title": "Variational calculus on Wiener space with relation to conditional expectations",
  "authors": [
    "Kévin Hartmann"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "We give a variational formulation for $-\\log\\mathbb{E}_\\nu\\left[e^{-f}|\\mathcal{F}_t\\right]$ for a large class of measures $\\nu$. We give a refined entropic characterization of the invertibility of some perturbations of the identity. We also discuss the attainability of the infimum in the variational formulation and obtain a Pr\\'ekopa-Leindler theorem for conditional expectations.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-07-19T12:45:38.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "conditional expectations",
      "variational calculus",
      "wiener space",
      "variational formulation",
      "large class"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}