A NOTE ON CONDITIONAL EXPONENTIAL MOMENTS AND ONSAGER-MACHLUP FUNCTIONALS
成果类型：
Article
署名作者：
SHEPP, LA; ZEITOUNI, O
署名单位：
Technion Israel Institute of Technology
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176989796
发表日期：
1992
页码：
652-654
关键词：
摘要：
It is proven that, for any deterministic L2[0, 1] function phi(t), E(exp integral-1/0-phi(t)dw(t)\parallel-to w parallel-to < epsilon) --> 1 as epsilon --> 0, where w(t) is a standard Brownian motion and parallel-to . parallel to is any reasonable norm on C0[0, 1]. Applications to the computation of Onsager-Machlup functionals are pointed out.