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

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.

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/)