A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations (Q272943)

``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)