



























In this paper we derive an integral (with respect to time) representation of the relative entropy (or Kullback-Leibler Divergence) between measures mu and P on the space of continuous functions from time 0 to T. The underlying measure P is a weak solution to a Martingale Problem with continuous coefficients. Since the relative entropy governs the exponential rate of convergence of the empirical measure (according to Sanov's Theorem), this representation is of use in the numerical and analytical investigation of finite-size effects in systems of interacting diffusions.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。