Skip to main content
deleted 14 characters in body
Source Link
user47274
  • 1.3k
  • 15
  • 25

This isshould be just a partial answercomment (I don't have enough points to write a comment). Using Jensen's inequality, with the equality case, you obtain that $\log \frac{dQ}{dP}$ must be constant a.e., so equal to $0$ a.e.

This is a partial answer (I don't have enough points to write a comment). Using Jensen's inequality, with the equality case, you obtain that $\log \frac{dQ}{dP}$ must be constant a.e., so equal to $0$ a.e.

This should be just a comment (I don't have enough points). Using Jensen's inequality, with the equality case, you obtain that $\log \frac{dQ}{dP}$ must be constant a.e., so equal to $0$ a.e.

Source Link
user47274
  • 1.3k
  • 15
  • 25

This is a partial answer (I don't have enough points to write a comment). Using Jensen's inequality, with the equality case, you obtain that $\log \frac{dQ}{dP}$ must be constant a.e., so equal to $0$ a.e.