Relative entropy and waiting times for continuous-time Markov processes
Author | dc.contributor.author | Chazottes, J. R. | |
Author | dc.contributor.author | Giardina, C. | es_CL |
Author | dc.contributor.author | Redig, F. | es_CL |
Admission date | dc.date.accessioned | 2008-12-22T10:17:01Z | |
Available date | dc.date.available | 2008-12-22T10:17:01Z | |
Publication date | dc.date.issued | 2006-11-28 | |
Cita de ítem | dc.identifier.citation | ELECTRONIC JOURNAL OF PROBABILITY Volume: 11 Pages: 1049-1068 Published: NOV 28 2006 | en |
Identifier | dc.identifier.issn | 1083-6489 | |
Identifier | dc.identifier.uri | https://repositorio.uchile.cl/handle/2250/124792 | |
Abstract | dc.description.abstract | For discrete-time stochastic processes, there is a close connection between return (resp. waiting) times and entropy ( resp. relative entropy). Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one needs a reference measure on path space and so the natural object is relative entropy rather than entropy. In this paper we elaborate on this in the case of continuous-time Markov processes with finite state space. A reference measure of special interest is the one associated to the time-reversed process. In that case relative entropy is interpreted as the entropy production rate. The main results of this paper are: almost-sure convergence to relative entropy of the logarithm of waiting-times ratios suitably normalized, and their fluctuation properties ( central limit theorem and large deviation principle). | en |
Lenguage | dc.language.iso | en | en |
Publisher | dc.publisher | UNIV WASHINGTON, DEPT MATHEMATICS | en |
Keywords | dc.subject | RANDOM-FIELDS | en |
Título | dc.title | Relative entropy and waiting times for continuous-time Markov processes | en |
Document type | dc.type | Artículo de revista |
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