Entropy Estimate Between Diffusion Processes with Application to Nonlinear Fokker-Planck Equations
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Abstract: By developing a new technique called the bi-coupling argument, we estimate the relative entropy between different diffusion processes in terms of the distances of initial distributions and drift-diffusion coefficients. As an application, the entropy-cost inequality is established for nonlinear Fokker-Planck equations, which has potential applications in optimal transport, information theory and mean field particle systems.
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