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

Oliver Faugeras, James MacLaurin. A Representation of the Relative Entropy with Respect to a Diffusion Process in Terms of Its Infinitesimal Generator. Entropy, 16(12):6705-6721, 2014. [doi]

Authors

Oliver Faugeras

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James MacLaurin

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