Transportation inequalities for Markov kernels and their applications

DOI10.1214/21-EJP605zbMATH Open1503.39017OpenAlexW3153344119MaRDI QIDQ2042801FDOQ2042801

Authors: Fabrice Baudoin, Nathaniel Eldredge 

Publication date: 21 July 2021

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

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.

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

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zbMATH Keywords

optimal transportKantorovich-Wasserstein distanceHellinger distanceMarkov kernelsfunctional inequalitiesKuwada dualityreverse logarithmic Sobolev inequalityreverse Poincaré inequality

Mathematics Subject Classification ID

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

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Cited In (7)

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

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