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

Wolfgang Stummer

Statistics & Probability Letters, 1998, vol. 36, issue 4, 327-336

Abstract: 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.

Keywords: Multi-dimensional; stochastic; differential; equations; Entropy; Time; reversal (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (2)

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