A representation of the relative entropy with respect to a diffusion process in terms of its infinitesimal generator

Olivier Faugeras, James MacLaurin

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Abstract

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{double-struck}d). 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 is of use in statistical inference (particularly involving medical imaging). Since R(μ||P) governs the exponential rate of convergence of the empirical measure (according to Sanov's theorem), this representation is also of use in the numerical and analytical investigation of finite-size effects in systems of interacting diffusions.

Original languageEnglish (US)
Pages (from-to)6705-6721
Number of pages17
JournalEntropy
Volume16
Issue number12
DOIs
StatePublished - 2014
Externally publishedYes

All Science Journal Classification (ASJC) codes

  • Physics and Astronomy(all)

Keywords

  • Diffusion
  • Kullback-Leibler
  • Martingale formulation
  • Relative entropy

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