On bounded entropy of solutions of multi-dimensional stochastic differential equations

The objects of consideration are weak solutions Xt of "classical" multi-dimensional stochastic differential equations of the form dXt = b(t, Xt) dt + dWt. We give stochastic and non-stochastic conditions which guarantee the boundedness of the entropy of Xt. It will be demonstrated by example that also exploding drifts b are covered in this scheme. A short application deals with the diffusion behaviour of the time reversal of Xt.

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Year of publication:	1998
Authors:	Stummer, Wolfgang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 36.1998, 4, p. 327-336
Publisher:	Elsevier
Keywords:	Multi-dimensional stochastic differential equations Entropy Time reversal

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254248