Entropies, convexity, and functional inequalities: on -entropies and -Sobolev inequalities
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Publication:2567322
entropy functionalhyper-contracting diffusionlog-concave measurelogarithmic Sobolev inequalityPoincaré inequalityPoisson spaceWiener measure
Inequalities involving derivatives and differential and integral operators (26D10) Systems of functional equations and inequalities (39B72) Markov semigroups and applications to diffusion processes (47D07) Equations in function spaces; evolution equations (58D25) Diffusion processes and stochastic analysis on manifolds (58J65) Diffusion processes (60J60) Measures of information, entropy (94A17)
Abstract: Our aim is to provide a short and self contained synthesis which generalise and unify various related and unrelated works involving what we call Phi-Sobolev functional inequalities. Such inequalities related to Phi-entropies can be seen in particular as an inclusive interpolation between Poincare and Gross logarithmic Sobolev inequalities. In addition to the known material, extensions are provided and improvements are given for some aspects. Stability by tensor products, convolution, and bounded perturbations are addressed. We show that under simple convexity assumptions on Phi, such inequalities hold in a lot of situations, including hyper-contractive diffusions, uniformly strictly log-concave measures, Wiener measure (paths space of Brownian Motion on Riemannian Manifolds) and generic Poisson space (includes paths space of some pure jumps Levy processes and related infinitely divisible laws). Proofs are simple and relies essentially on convexity. We end up by a short parallel inspired by the analogy with Boltzmann-Shannon entropy appearing in Kinetic Gases and Information Theories.
For a smooth convex real-valued function \(\Phi\) on a closed interval and a probability measure \(\mu\) on a Borel space \((\Omega , \mathcal F)\), the \(\Phi\)-entropy functional \(\text{Ent}^\Phi_\mu (f)\) of a real-valued function \(f\) on \(\Omega\) is defined as \[ \text{Ent}^\Phi_\mu (f)=\int_\Omega \Phi (f)\,d\mu -\Phi \left( \int_\Omega f\,d\mu \right) . \] A number of well-known inequalities, like the Poincaré inequality and the logarithmic Sobolev inequality, can be expressed in terms of \(\text{Ent}^\Phi_\mu \) for appropriate \(\Phi\) and \(\mu\). The author gives a unified treatment and a generalization of such inequalities, covering many different situations including hyper-contracting diffusions, uniformly strictly log-concave measures, Wiener measures on Riemannian manifolds, and Poisson spaces. Relations with the Boltzmann-Shannon entropy from the kinetic theory of gases and the information theory are discussed.
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