On Donsker-Varadhan's Entropy and its Application

Masayoshi Takeda

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

Given a Symmetrie Markov process, its Girsanov transformation is characterized in terms of Donsker-Varadhan's entropy for stationary processes. This is applied to getting a limit theorem for Girsanov transformations.

Original languageEnglish
Pages (from-to)481-488
Number of pages8
JournalForum Mathematicum
Volume2
Issue number2
DOIs
Publication statusPublished - 1990

ASJC Scopus subject areas

  • Mathematics(all)
  • Applied Mathematics

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