Transportation inequalities for Markov kernels and their applications

DOI10.1214/21-EJP605MaRDI QIDQ2042801zbMATH OpenOpenAlexFDO

Authors Fabrice Baudoin, Nathaniel Eldredge

Publication date 21 July 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.02050

zbMATH Keywords

functional inequalitiesHellinger distanceKantorovich-Wasserstein distanceKuwada dualityMarkov kernelsoptimal transportreverse logarithmic Sobolev inequalityreverse Poincaré inequality

Mathematics Subject Classification ID

Spaces of measures, convergence of measures (28A33) Analysis on metric spaces (30L99) Functional inequalities, including subadditivity, convexity, etc. (39B62) Markov semigroups and applications to diffusion processes (47D07) Optimal transportation (49Q22) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: We study the relationship between functional inequalities for a Markov kernel on a metric space $X$ and inequalities of transportation distances on the space of probability measures $mathcalP(X)$. Extending results of Luise and Savar'e on Hellinger--Kantorovich contraction inequalities for the particular case of the heat semigroup on an $RCD(K,infty)$ metric space, we show that more generally, such contraction inequalities are equivalent to reverse Poincar'e inequalities. We also adapt the "dynamic dual" formulation of the Hellinger--Kantorovich distance to define a new family of divergences on $mathcalP(X)$ which generalize the R'enyi divergence, and we show that contraction inequalities for these divergences are equivalent to the reverse logarithmic Sobolev and Wang Harnack inequalities. We discuss applications including results on the convergence of Markov processes to equilibrium, and on quasi-invariance of heat kernel measures in finite and infinite-dimensional groups.

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Cited in

(8)

• Transportation-information inequalities for Markov processes
• Transportation and concentration inequalities for bifurcating Markov chains
• Transport-information inequalities for Markov chains
• On Harnack inequalities and optimal transportation
• Quasi-invariance for infinite-dimensional Kolmogorov diffusions
• Convergence to equilibrium for hypoelliptic non-symmetric Ornstein-Uhlenbeck-type operators
• Functional inequalities for a family of infinite-dimensional diffusions with degenerate noise
• Gradient bounds for iterated Kolmogorov diffusions

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