Finite Kullback information diffusion laws with fixed marginals and associated large deviations functionals

Marc Brunaud

Stochastic Processes and their Applications, 1993, vol. 44, issue 2, 329-345

Abstract: In this article we extend a theorem previously proved by H. Föllmer for the Wiener process on C([0, 1], d) to diffusion processes; we therefore straightforward recover, under slightly less general technical assumptions but in its whole generality, a theorem already given by Dawson and Gärtner. The result is intimately related with a Ventcel-Freidlin action functional associated to some N-particle system which is driven according to a non-linear McKean-Vlasov limiting equation.

Date: 1993
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