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];Rd). The underlying measure P is a weak solution to a martingale problem with continuous coefficients. Our representation...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2014-12-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/16/12/6705 |