Formulation and properties of a divergence used to compare probability measures without absolute continuity

DOI10.1051/cocv/2022002zbMath1478.60008arXiv1911.07422OpenAlexW2987865082WikidataQ114011504 ScholiaQ114011504MaRDI QIDQ5024347

Paul Dupuis, Yixiang Mao

Publication date: 31 January 2022

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.07422

zbMATH Keywords

relative entropyrisk-sensitive controlconvex dualitycalculus of variationoptimal transport theoryinformation-theoretic divergence

Mathematics Subject Classification ID

Stochastic stability in control theory (93E15) Probabilistic measure theory (60A10) Measures of information, entropy (94A17) Statistical aspects of information-theoretic topics (62B10)

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