Electronic Journal of Probability
- Electron. J. Probab.
- Volume 11 (2006), paper no. 40, 1049-1068.
Relative entropy and waiting times for continuous-time Markov processes
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).
Electron. J. Probab., Volume 11 (2006), paper no. 40, 1049-1068.
Accepted: 28 November 2006
First available in Project Euclid: 31 May 2016
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60J27: Continuous-time Markov processes on discrete state spaces
Secondary: 60F10: Large deviations
This work is licensed under aCreative Commons Attribution 3.0 License.
Chazottes, Jean-René; Giardina, Cristian; Redig, Frank. Relative entropy and waiting times for continuous-time Markov processes. Electron. J. Probab. 11 (2006), paper no. 40, 1049--1068. doi:10.1214/EJP.v11-374. https://projecteuclid.org/euclid.ejp/1464730575