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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.

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Functional derivative of differential entropy

I have trouble finding the derivative of the differential entropy w.r.t the probability density function, i.e. what is $\frac{\delta F[p]}{\delta p(x)}$, where $F[p] = \int_X p(x)\ln(p(x))dx$, and $p …
Jan Rathjens's user avatar