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Representation formula for the entropy and functional inequalities

Lehec, Joseph (2013), Representation formula for the entropy and functional inequalities, Annales de l'I.H.P. Probabilités et Statistiques, 49, 3, p. 885-899. http://dx.doi.org/10.1214/11-AIHP464

Type
Article accepté pour publication ou publié
External document link
http://hal.archives-ouvertes.fr/hal-00534442/fr/
Date
2013
Journal name
Annales de l'I.H.P. Probabilités et Statistiques
Volume
49
Number
3
Publisher
IHP
Pages
885-899
Publication identifier
Metadata
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Author(s)
Lehec, Joseph cc
Abstract (EN)
We prove a stochastic formula for the Gaussian relative entropy in the spirit of Borell's formula for the Laplace transform. As an application, we give unified and short proofs of various well known inequalities.
Subjects / Keywords
stochastic; Functional inequalities; Girsanov transform; Entropy