Transportation-information inequalities for Markov processes

DOI10.1007/S00440-008-0159-5MaRDI QIDQ2391174zbMATH OpenOpenAlexFDO

Authors Nian Yao, Arnaud Guillin, Christian Léonard, Liming Wu

Publication date 24 July 2009

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0706.4193

zbMATH Keywords

concentration inequalitytransportation costlog-Sobolev inequalitiesFisher-Donsker-Varadhan informationPoincaré inequalities

Mathematics Subject Classification ID

Large deviations (60F10) Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Continuous-time Markov processes on general state spaces (60J25) Inequalities involving derivatives and differential and integral operators (26D10) One-parameter semigroups and linear evolution equations (47D06)

Abstract: In this paper, one investigates the following type of transportation-information $T_{c}I$ inequalities: $alpha(T_c(u,mu))leI(u|mu)$ for all probability measures $u$ on some metric space $(XX,d)$, where $mu$ is a given probability measure, $T_c(u,mu)$ is the transportation cost from $u$ to $mu$ with respect to some cost function $c(x,y)$ on $X{X}^2$, $I(u|mu)$ is the Fisher-Donsker-Varadhan information of $u$ with respect to $mu$ and $alpha:[0,infty)o[0,infty]$ is some left continuous increasing function. Using large deviation techniques, it is shown that $T_{c}I$ is equivalent to some concentration inequality for the occupation measure of a $mu$-reversible ergodic Markov process related to $I(cdot|mu)$, a counterpart of the characterizations of transportation-entropy inequalities, recently obtained by Gozlan and L'eonard in the i.i.d. case . Tensorization properties of $T_{c}I$ are also derived.

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Cited in

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