Entropy and Relative Entropy occur sufficiently often in these notes to justify a (somewhat) self-contained section. We cover the discrete case which is the most intuitive.
- A heuristic look at the stochastic integral.
- heuristic derivation of Itô’s formula.
- Markov’s Inequality; Chebychev’s Inequality; Chernoff’s Bound.
- Bounds for the Poisson Distribution.