A trajectorial interpretation of the dissipations of entropy and Fisher information for stochastic differential equations

DOI10.1214/14-AOP969zbMath1351.60070arXiv1107.3300MaRDI QIDQ272943

Benjamin Jourdain, Joaquin Fontbona

Publication date: 21 April 2016

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

Full work available at URL: https://arxiv.org/abs/1107.3300

zbMATH Keywords

stochastic differential equations; long-time behavior; time reversal; continuous-time Markov processes; backward martingales; Bakry-Emery criterion; convex Sobolev inequalities; Girsanov theory; submartingales

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35B40: Asymptotic behavior of solutions to PDEs

60G48: Generalizations of martingales

60H30: Applications of stochastic analysis (to PDEs, etc.)

37A35: Entropy and other invariants, isomorphism, classification in ergodic theory

60G44: Martingales with continuous parameter

26D10: Inequalities involving derivatives and differential and integral operators

Related Items

Mean field limit and propagation of chaos for Vlasov systems with bounded forces, Optimal non-reversible linear drift for the convergence to equilibrium of a diffusion, Fractional-Diffusion--Advection Limit of a Kinetic Model

Cites Work

• Accelerating diffusions
• Calcul stochastique et problèmes de martingales
• Time reversal of infinite-dimensional diffusions
• Time reversal of diffusions
• Dirichlet forms and analysis on Wiener space
• Minimization of the Kullback information of diffusion processes
• A pathwise approach of some classical inequalities
• Integration by parts and time reversal for diffusion processes
• Logarithmic Sobolev inequalities and stochastic Ising models
• Entropies, convexity, and functional inequalities: on \(\Phi\)-entropies and \(\Phi\)-Sobolev inequalities
• ON CONVEX SOBOLEV INEQUALITIES AND THE RATE OF CONVERGENCE TO EQUILIBRIUM FOR FOKKER-PLANCK TYPE EQUATIONS
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item