= Solution
Write $W=Z-\mathbb EZ$ and $\psi(\lambda)=\log\mathbb E_Pe^{\lambda W}$. For any $Q\ll P$ and real $\lambda$, define the exponential tilt
$$
\frac{dP_\lambda}{dP}=e^{\lambda W-\psi(\lambda)}.
$$
Positivity of relative entropy gives
$$
D(Q\Vert P)=D(Q\Vert P_\lambda)
+\lambda\mathbb E_QW-\psi(\lambda)
\geq\lambda\mathbb E_QW-\psi(\lambda).
$$
Thus every $Q$ with $\mathbb E_QW\geq t$ has $D(Q\Vert P)\geq\sup_{\lambda\geq0}\{\lambda t-\psi(\lambda)\}=\psi^*(t)$.
For $0<t<b$, continuity of $\psi'$ supplies $\lambda_t>0$ with $\psi'(\lambda_t)=t$. Under $P_{\lambda_t}$, $\mathbb EW=t$, and direct substitution gives
$$
D(P_{\lambda_t}\Vert P)
=\lambda_t t-\psi(\lambda_t)=\psi^*(t).
$$
This tilt attains the constrained infimum and proves the identity.
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