A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations (Q272943): Difference between revisions
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``Dissipation of general convex entropies for continuous-time Markov processes can be described in terms of backward martingales with respect to the tail filtration. The relative entropy is the expected value of a backward submartingale.'' The authors ``use Girsanov theory to explicit the Doob-Meyer decomposition of this submartingale'' and ``deduce a stochastic analogue of the well-known entropy dissipation formula. [\dots] Under additional regulatory assumptions, [they] obtain [\dots] a new Bakry-Emery criterion which ensures exponential convergence of the entropy to 0.'' They ``provide examples where the classic Bakry-Emery condition fails, but [their] criterion applies without modifying the law of the diffusion process.'' (Quotations taken from the authors' abstract) | |||
Property / review text: ``Dissipation of general convex entropies for continuous-time Markov processes can be described in terms of backward martingales with respect to the tail filtration. The relative entropy is the expected value of a backward submartingale.'' The authors ``use Girsanov theory to explicit the Doob-Meyer decomposition of this submartingale'' and ``deduce a stochastic analogue of the well-known entropy dissipation formula. [\dots] Under additional regulatory assumptions, [they] obtain [\dots] a new Bakry-Emery criterion which ensures exponential convergence of the entropy to 0.'' They ``provide examples where the classic Bakry-Emery condition fails, but [their] criterion applies without modifying the law of the diffusion process.'' (Quotations taken from the authors' abstract) / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H10 / rank | |||
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Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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Property / Mathematics Subject Classification ID: 60J25 / rank | |||
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Property / Mathematics Subject Classification ID: 60G44 / rank | |||
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Property / Mathematics Subject Classification ID: 60G48 / rank | |||
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Property / Mathematics Subject Classification ID: 37A35 / rank | |||
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Property / Mathematics Subject Classification ID: 35B40 / rank | |||
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Property / Mathematics Subject Classification ID: 26D10 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6571498 / rank | |||
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Property / zbMATH Keywords | |||
stochastic differential equations | |||
Property / zbMATH Keywords: stochastic differential equations / rank | |||
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long-time behavior | |||
Property / zbMATH Keywords: long-time behavior / rank | |||
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continuous-time Markov processes | |||
Property / zbMATH Keywords: continuous-time Markov processes / rank | |||
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backward martingales | |||
Property / zbMATH Keywords: backward martingales / rank | |||
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Property / zbMATH Keywords | |||
submartingales | |||
Property / zbMATH Keywords: submartingales / rank | |||
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Bakry-Emery criterion | |||
Property / zbMATH Keywords: Bakry-Emery criterion / rank | |||
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Property / zbMATH Keywords | |||
convex Sobolev inequalities | |||
Property / zbMATH Keywords: convex Sobolev inequalities / rank | |||
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time reversal | |||
Property / zbMATH Keywords: time reversal / rank | |||
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Girsanov theory | |||
Property / zbMATH Keywords: Girsanov theory / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Aleksandra Rodkina / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1107.3300 / rank | |||
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Property / cites work | |||
Property / cites work: Q2790466 / rank | |||
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Property / OpenAlex ID: W2963432572 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 11:10, 30 July 2024
scientific article
Language | Label | Description | Also known as |
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English | A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations |
scientific article |
Statements
A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations (English)
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21 April 2016
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``Dissipation of general convex entropies for continuous-time Markov processes can be described in terms of backward martingales with respect to the tail filtration. The relative entropy is the expected value of a backward submartingale.'' The authors ``use Girsanov theory to explicit the Doob-Meyer decomposition of this submartingale'' and ``deduce a stochastic analogue of the well-known entropy dissipation formula. [\dots] Under additional regulatory assumptions, [they] obtain [\dots] a new Bakry-Emery criterion which ensures exponential convergence of the entropy to 0.'' They ``provide examples where the classic Bakry-Emery condition fails, but [their] criterion applies without modifying the law of the diffusion process.'' (Quotations taken from the authors' abstract)
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stochastic differential equations
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long-time behavior
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continuous-time Markov processes
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backward martingales
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submartingales
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Bakry-Emery criterion
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convex Sobolev inequalities
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time reversal
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Girsanov theory
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