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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

1 vote
1 answer
717 views

Combination of probability distributions with maximum relative entropy

How can we figure out the combination of probability mass functions p and q, such that the relative entropy $D(p||q) = \sum p \log \frac{p}{q}$ is maximum? Of course this is a convex function. I am …
0 votes
2 answers
294 views

Relationship between these two probability mass functions.

If I have two different discrete distributions of random variables X and Y, such that their probability mass functions are related as follows: $P(X=x_i) = \lambda\frac{P (Y=x_i)}{x_i} $ what can …