A Representation of the Relative Entropy with Respect to a Diffusion Process in Terms of Its Infinitesimal Generator

Autor: Oliver Faugeras, James MacLaurin

Publikováno v: Entropy, Vol 16, Iss 12, Pp 6705-6721 (2014)

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 pro

Externí odkaz: https://doaj.org/article/384ac8c905084f5297f4c3b3e2ac36fe

A Representation of the Relative Entropy with Respect to a Diffusion Process in Terms of Its Infinitesimal Generator

Autor: James MacLaurin, Olivier Faugeras

Publikováno v: Entropy, Vol 16, Iss 12, Pp 6705-6721 (2014)
Entropy
Entropy, MDPI, 2014, 16, pp.17. ⟨10.3390/e16126705⟩
Volume 16
Issue 12
Pages 6705-6721
Entropy, 2014, 16, pp.17. ⟨10.3390/e16126705⟩

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 martingal

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6fcfdfa8917ff7562fb0118aca860400
http://www.mdpi.com/1099-4300/16/12/6705

Conditional measures and operators

Autor: Malempati M. Rao

Publikováno v: Journal of Multivariate Analysis. 5(3):330-413

A detailed study of the structure of conditional expectations and conditional probability measures is presented. Some characterizations of conditional expectations as a subclass of projection operators on Banach function spaces, and similarly conditi

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::124b22e91dab89fe098ebbbbc58e67df

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