Entropic measure and Wasserstein diffusion

DOI10.1214/08-AOP430zbMATH Open1177.60066arXiv0704.0704OpenAlexW2963013958MaRDI QIDQ2270611FDOQ2270611

Max-K. Von Renesse, Karl-Theodor Sturm

Publication date: 28 July 2009

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We construct a new random probability measure on the sphere and on the unit interval which in both cases has a Gibbs structure with the relative entropy functional as Hamiltonian. It satisfies a quasi-invariance formula with respect to the action of smooth diffeomorphism of the sphere and the interval respectively. The associated integration by parts formula is used to construct two classes of diffusion processes on probability measures (on the sphere or the unit interval) by Dirichlet form methods. The first one is closely related to Malliavin's Brownian motion on the homeomorphism group. The second one is a probability valued stochastic perturbation of the heat flow, whose intrinsic metric is the quadratic Wasserstein distance. It may be regarded as the canonical diffusion process on the Wasserstein space.

Full work available at URL: https://arxiv.org/abs/0704.0704

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zbMATH Keywords

entropyoptimal transportDirichlet processWasserstein spacemeasure-valued diffusionWasserstein diffusionchange of variable formulastochastic heat flowentropic measureBrownian motion on the homeomorphism group

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Markov semigroups and applications to diffusion processes (47D07) Diffusion processes (60J60) Random measures (60G57) PDEs with randomness, stochastic partial differential equations (35R60) Diffusion processes and stochastic analysis on manifolds (58J65) Probabilistic potential theory (60J45)

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• The entropy distance between the Wiener and stationary Gaussian measures
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• Entropic Measure on Multidimensional Spaces
• Reversible coalescing-fragmentating Wasserstein dynamics on the real line
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• A partial Laplacian as an infinitesimal generator on the Wasserstein space
• Metastability in a continuous mean-field model at low temperature and strong interaction
• On Dean-Kawasaki dynamics with smooth drift potential
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• A lack of Ricci bounds for the entropic measure on Wasserstein space over the interval
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• A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle
• Derivative formulas in measure on Riemannian manifolds
• \{Euclidean, metric, and Wasserstein\} gradient flows: an overview

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