Relative Entropy and Tightness of Measures

Budhiraja, Amarjit; Dupuis, Paul

doi:10.1007/978-1-4939-9579-0_2

Amarjit Budhiraja¹⁶ &
Paul Dupuis¹⁷

Part of the book series: Probability Theory and Stochastic Modelling ((PTSM,volume 94))

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Abstract

In this chapter we will collect results on relative entropy and tightness of probability measures that will be used many times in this book.

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Authors and Affiliations

Department of Statistics and Operations Research, University of North Carolina, Chapel Hill, NC, USA
Amarjit Budhiraja
Division of Applied Mathematics, Brown University, Providence, RI, USA
Paul Dupuis

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Amarjit Budhiraja
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Paul Dupuis
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Correspondence to Amarjit Budhiraja .

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Budhiraja, A., Dupuis, P. (2019). Relative Entropy and Tightness of Measures. In: Analysis and Approximation of Rare Events. Probability Theory and Stochastic Modelling, vol 94. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-9579-0_2

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DOI: https://doi.org/10.1007/978-1-4939-9579-0_2
Published: 11 August 2019
Publisher Name: Springer, New York, NY
Print ISBN: 978-1-4939-9577-6
Online ISBN: 978-1-4939-9579-0
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)

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