Stability of Talagrand's Gaussian transport-entropy inequality via the Föllmer process

DOI10.1007/S11856-021-2129-XMaRDI QIDQ2040189zbMATH OpenOpenAlexFDO

Authors Dan Mikulincer

Publication date 12 July 2021

Published in Israel Journal of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1906.05904

zbMATH Keywords

Fisher informationFöllmer processTalagrand's Gaussian transport-entropy

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Gaussian processes (60G15) Martingales with continuous parameter (60G44)

Abstract: We establish a dimension-free improvement of Talagrand's Gaussian transport-entropy inequality, under the assumption that the measures satisfy a Poincar'e inequality. We also study stability of the inequality, in terms of relative entropy, when restricted to measures whose covariance matrix trace is smaller than the ambient dimension. In case the covariance matrix is strictly smaller than the identity, we give dimension-free estimates which depend on its eigenvalues. To complement our results, we show that our conditions cannot be relaxed, and that there exist measures with covariance larger than the identity, for which the inequality is not stable, in relative entropy. To deal with these examples, we show that, without any assumptions, one can always get quantitative stability estimates in terms of relative entropy to Gaussian mixtures. Our approach gives rise to a new point of view which sheds light on the hierarchy between Fisher information, entropy, and transportation distance, and may be of independent interest. In particular, it implies that the described results apply verbatim to the log-Sobolev inequality and improve upon some known estimates in the literature.

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Cited in

(5)

• A sharp symmetrized form of Talagrand's transport-entropy inequality for the Gaussian measure
• Instability results for the logarithmic Sobolev inequality and its application to related inequalities
• Moment measures and stability for Gaussian inequalities
• Stability of hypercontractivity, the logarithmic Sobolev inequality, and Talagrand's cost inequality
• Stability of the Shannon-Stam inequality via the Föllmer process

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