A martingale bound for the entropy associated with a trimmed filtration on $\mathbb {R}^d$

Alexei Kulik; Taras Tymoshkevych

doi:10.15559/15-VMSTA16

A martingale bound for the entropy associated with a trimmed filtration on $\mathbb {R}^d$

Probability 2015-03-19 v1

Authors: Alexei Kulik , Taras Tymoshkevych

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Abstract

Using martingale methods, we provide bounds for the entropy of a probability measure on $\mathbb {R}^d$ with the right-hand side given in a certain integral form. As a corollary, in the one-dimensional case, we obtain a weighted log-Sobolev inequality.

Keywords

martingale bound entropy trimmed filtration log-Sobolev inequality probability measure R^d

Cite

@article{arxiv.1503.05381,
  title  = {A martingale bound for the entropy associated with a trimmed filtration on $\mathbb {R}^d$},
  author = {Alexei Kulik and Taras Tymoshkevych},
  journal= {arXiv preprint arXiv:1503.05381},
  year   = {2015}
}

Comments

Published at http://dx.doi.org/10.15559/15-VMSTA16 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)

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