Representation formula for the entropy and functional inequalities (Q372572): Difference between revisions

The purpose of the present paper is to prove a representation formula for the Gaussian relative entropy, both in \(\mathbb{R}^d\) and in the Wiener space, providing the entropy counterpats of C. Borell's formula for the Laplace transform. All these formulas have a common feature: Girsanov's theorem. However, the author's approach is somewhat different from that of \textit{C. Borell} [Potential Anal. 12, No. 1, 49--71 (2000; Zbl 0976.60065)] and \textit{M. Boué} and \textit{P. Dupuis} [Ann. Probab. 26, No. 4, 1641--1659 (1998; Zbl 0936.60059)]: it draws a connection with the work of \textit{H. Föllmer} [Time reversal on Wiener space. Stochastic processes -- mathematics and physics, Proc. 1st BiBoS-Symp., Bielefeld/Ger. 1984, Lect. Notes Math. 1158, 119--129 (1986; Zbl 0582.60078) and Random fields and diffusion processes. Calcul des probabilités, Éc. d'Été, Saint-Flour/Fr. 1985--87, Lect. Notes Math. 1362, 101--203 (1988; Zbl 0661.60063)] which makes the whole argument more simple. As an application, unified new proofs of a number of Gaussian inequalities (such as: the tranportation cost inequality; logarithmic Sobolev inequality; Shannon's inequality; Brascamp-Lieb inequality; reversed Brascamp-Lieb inequality) are offered.