An integral representation of the relative entropy

Abstract

Recently the identity of de Bruijn type between the relative entropy and the relative Fisher information with the reference moving has been unveiled by Verdú via MMSE in estimation theory. In this paper, we shall give another proof of this identity in more direct way that the derivative is calculated by applying integrations by part with the heat equation. We shall also derive an integral representation of the relative entropy, as one of the applications of which the logarithmic Sobolev inequality for centered Gaussian measures will be given. © 2012 by the authors.