Limits of relative entropies associated with weakly interacting particle systems

DOI10.1214/EJP.V20-4003MaRDI QIDQ2515948zbMATH OpenOpenAlexFDO

Authors Amarjit Budhiraja, Paul Dupuis, Markus Fischer, Kavita Ramanan

Publication date 7 August 2015

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1412.5553

zbMATH Keywords

interacting Markov chainslarge deviationsLyapunov functionsmean field limitmetastabilitynonlinear Markov processesrelative entropystabilityweakly interacting particle systems

Mathematics Subject Classification ID

Stability of solutions to ordinary differential equations (34D20) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Lyapunov and storage functions (93D30)

Abstract: The limits of scaled relative entropies between probability distributions associated with N-particle weakly interacting Markov processes are considered. The convergence of such scaled relative entropies is established in various settings. The analysis is motivated by the role relative entropy plays as a Lyapunov function for the (linear) Kolmogorov forward equation associated with an ergodic Markov process, and Lyapunov function properties of these scaling limits with respect to nonlinear finite-state Markov processes are studied in the companion paper [6].

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Cited in

(17)

• Weakly interacting particle systems on inhomogeneous random graphs
• Vertex reinforced random walks with exponential interaction on complete graphs
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• Moderate deviation principles for weakly interacting particle systems
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• Nonlinear Markov processes in big networks
• Large deviations for finite state Markov jump processes with mean-field interaction via the comparison principle for an associated Hamilton-Jacobi equation
• Competitive ternary interactions and relative entropy of solutions
• Scalable Load Balancing in Networked Systems: A Survey of Recent Advances
• Entropic curvature and convergence to equilibrium for mean-field dynamics on discrete spaces
• Cosh gradient systems and tilting
• Lyapunov function for interacting reinforced stochastic processes via Hopfield's energy function
• Trajectorial dissipation of \({\Phi}\)-entropies for interacting particle systems
• Graphon mean field systems
• Uniform-in-time convergence rates to a nonlinear Markov chain for mean-field interacting jump processes
• Long run convergence of discrete-time interacting particle systems of the McKean-Vlasov type
• Gradient flow structure for McKean-Vlasov equations on discrete spaces

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