A Representation of the Relative Entropy with Respect to a Diffusion Process in Terms of Its Infinitesimal Generator
نویسندگان
چکیده
منابع مشابه
A Representation of the Relative Entropy with Respect to a Diffusion Process in Terms of Its Infinitesimal Generator
In this paper we derive an integral (with respect to time) representation of the relative entropy (or Kullback–Leibler Divergence) R(μ||P ), where μ and P are measures on C([0, T ];R). The underlying measure P is a weak solution to a martingale problem with continuous coefficients. Our representation is in the form of an integral with respect to its infinitesimal generator. This representation ...
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ژورنال
عنوان ژورنال: Entropy
سال: 2014
ISSN: 1099-4300
DOI: 10.3390/e16126705