Trajectorial dissipation and gradient flow for the relative entropy in Markov chains

DOI10.4310/CIS.2021.V21.N4.A1MaRDI QIDQ2048485zbMATH OpenFDO

Authors Jan Maas, Ioannis Karatzas, Walter Schachermayer

Publication date 6 August 2021

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.14177

zbMATH Keywords

ergodic Markov Chainsrelative entropy

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35) Measures of information, entropy (94A17)

Abstract: We study the temporal dissipation of variance and relative entropy for ergodic Markov Chains in continuous time, and compute explicitly the corresponding dissipation rates. These are identified, as is well known, in the case of the variance in terms of an appropriate Hilbertian norm; and in the case of the relative entropy, in terms of a Dirichlet form which morphs into a version of the familiar Fisher information under conditions of detailed balance. Here we obtain trajectorial versions of these results, valid along almost every path of the random motion and most transparent in the backwards direction of time. Martingale arguments and time reversal play crucial roles, as in the recent work of Karatzas, Schachermayer and Tschiderer for conservative diffusions. Extension are developed to general "convex divergences" and to countable state-spaces. The steepest descent and gradient flow properties for the variance, the relative entropy, and appropriate generalizations, are studied along with their respective geometries under conditions of detailed balance, leading to a very direct proof for the HWI inequality of Otto and Villani in the present context.

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Cited in

(11)

• A trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalities
• A probabilistic approach to convex \((\phi)\)-entropy decay for Markov chains
• Characterisation of gradient flows on finite state Markov chains
• A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
• Relative entropy between Markov transition rate matrices
• L'algèbre de Lie des gradients itérés d'un générateur markovien---développements de moyennes et entropies
• A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions
• Time Reversal of diffusion processes under a finite entropy condition
• Trajectorial dissipation of \({\Phi}\)-entropies for interacting particle systems
• A trajectorial approach to entropy dissipation for degenerate parabolic equations
• Velocity formulae between entropy and hitting time for Markov chains

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