Some properties of path measures

Christian Léonard (1)

1 MODAL'X - Modélisation aléatoire de Paris X

We call any measure on a path space, a path measure. Some notions about path measures which appear naturally when solving the Schrödinger problem are presented and worked out in detail.

Mots clés: conditional expectation; relative entropy; stochastic processes; Schrödinger problem; Unbounded measure

Domaines: Probabilités [math.PR]

Christian Léonard. Some properties of path measures. Séminaire de Probabilités, 2014, Séminaire de probabilités de Strasbourg, 46, Lecture Notes in Mathematics (2123), pp.207-230. ⟨hal-00849932⟩