Relative entropy between Markov transition rate matrices
| Author(s) : | J. Walr G. Kesidis, |
| Publisher : | N/A |
| Publication Date : | 1993 |
| ISSN : | N/A |
| Abstract : | We derive the relative entropy between two Markov transition rate matrices from sample path considerations. This relative entropy isinterpreted as a \level 2.5 " large deviations action functional. That is, the level two large deviations action functional for empirical distributions of continuous-time Markov chains can be derived from the relative entropy using the contraction mapping principle [4]. 1, |