A trajectorial approach to relative entropy dissipation of McKean-Vlasov diffusions: gradient flows and HWBI inequalities
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Publication:2108507
Abstract: We formulate a trajectorial version of the relative entropy dissipation identity for McKeanVlasov diffusions, extending the results of the papers [FJ16,KST20a], which apply to non-interacting diffusions. Our stochastic analysis approach is based on time-reversal of diffusions and Lions' differential calculus over Wasserstein space. It allows us to compute explicitly the rate of relative entropy dissipation along every trajectory of the underlying diffusion via the semimartingale decomposition of the corresponding relative entropy process. As a first application, we obtain a new interpretation of the gradient flow structure for the granular media equation, generalizing the formulation in [KST20a] developed for the linear FokkerPlanck equation. Secondly, we show how the trajectorial approach leads to a new derivation of the HWBI inequality, which relates relative entropy (H), Wasserstein distance (W), barycenter (B) and Fisher information (I).
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Cited in
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- A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations
- Geodesic convexity of the relative entropy in reversible Markov chains
- Trajectorial dissipation of \({\Phi}\)-entropies for interacting particle systems
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