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Relative entropy between Markov transition rate matrices

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2 Author(s)
Kesidis, G. ; Dept. of Electr. & Comput. Sci., California Univ., Berkeley, CA, USA ; Walrand, J.

The relative entropy between two Markov transition rate matrices is derived from sample path considerations. This relative entropy is interpreted as a level-2.5 large-deviations action functional. That is, the level-two large-deviations action functional for empirical distributions of continuous-time Markov chains can be derived from the relative entropy using the contraction mapping principle

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Information Theory, IEEE Transactions on  (Volume:39 ,  Issue: 3 )