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

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.