Theory of Probability and Mathematical Statistics
Calculation of extremums of entropy functionals
Y. S. Mishura, H. S. Zhelezniak
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Abstract: We consider a sum of two independent Wiener processes with a drift and construct new probabilistic measures, with respect to which the drift is zero. Among these measures, we are looking for those that minimize or maximize certain including entropy functionals.
Keywords: Wiener process, Radon–Nikodym derivative, entropy functional, minimization, maximization.
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3. Y. Mishura, H. Zhelezniak, Extreme measures for entropy functionals , Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics & Mathematics (2017), no. 4, 15-20.
