The Onsager–Machlup action functional for degenerate stochastic differential equations in a class of norms

Shanqi Liu and Hongjun Gao

Statistics & Probability Letters, 2024, vol. 206, issue C

Abstract: In this note, we show that the existence of the Onsager–Machlup action functional for degenerate stochastic differential equations in a large class of norms. The main ingredient of the proof is Girsanov transformation and some classical conditioned exponential inequalities.

Keywords: Onsager–Machlup action functional; Degenerate stochastic differential equations; Girsanov transformation (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.110009

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