A multidimensional version of specific relative entropy between continuous martingales is defined, with Gantert's inequality extended and shown to be the convex lower semicontinuous envelope of the entropy.
Backhoff-Veraguas and M
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Multidimensional specific relative entropy between continuous martingales
A multidimensional version of specific relative entropy between continuous martingales is defined, with Gantert's inequality extended and shown to be the convex lower semicontinuous envelope of the entropy.