Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2015/iii/paper-8/3/c/solution

In the one-dimensional unit-mass setting, put . Using the convention , the relative entropy is
Because , we can subtract inside the integral:
This is relative entropy nonnegativity from the given scalar inequality. Its integrand vanishes only at , so zero relative entropy characterizes almost everywhere. The nonnegativity remains valid with value when entropy is not finite.

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