Relative entropy and waiting times for continuous-time Markov processes

Details Relative entropy and waiting times for continuous-time Markov processes Relative entropy and waiting times for continuous-time Markov processes

2005-12-16

arxiv.org/abs/math/0512386v1

Mathematics

Probability

17 pages

Scientific paper

For discrete-time stochastic processes, there is a close connection between return/waiting times and entropy. Such a connection cannot be straightforwardly extended to the continuous-time setting. Contrarily to the discrete-time case one does need a reference measure 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 suitable waiting-times and their fluctuation properties (central limit theorem and large deviation principle).

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