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