Entropic measure and Wasserstein diffusion
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Publication:2270611
entropyoptimal transportDirichlet processWasserstein spacemeasure-valued diffusionWasserstein diffusionchange of variable formulastochastic heat flowentropic measureBrownian motion on the homeomorphism group
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)
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.
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- Metastability in a continuous mean-field model at low temperature and strong interaction
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- Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces
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