Asymptotics of sample entropy production rate for stochastic differential equations

DOI10.1007/S10955-016-1513-0zbMATH Open1342.60092OpenAlexW3099849921MaRDI QIDQ301752FDOQ301752

Authors Feng-Yu Wang, Lihu Xu, Jie Xiong 

Publication date 1 July 2016

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.01881

zbMATH Keywords

central limit theoremHarnack inequalitymoderate deviation principlestochastic differential equationsintegration by parts formulalogarithmic iteration lawsample entropy production rate

Mathematics Subject Classification ID

Large deviations (60F10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Abstract: By using the dimension-free Harnack inequality and the integration by parts formula for the associated diffusion semigroup, we prove the central limit theorem, the moderate deviation principle, and the logarithmic iteration law for the sample entropy production rate of stochastic differential equations with Lipschitz continuous and dissipative drifts.

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Cited In (8)

• Cramér-type moderate deviations for the likelihood ratio process of Ornstein-Uhlenbeck process with shift
• Mathematical foundation of nonequilibrium fluctuation-dissipation theorems for inhomogeneous diffusion processes with unbounded coefficients
• Entropy production of stationary diffusions on non-compact Riemannian manifolds
• Moderate deviations for the SSEP with a slow bond
• Asymptotics of the entropy production rate for \(d\)-dimensional Ornstein-Uhlenbeck processes
• Moderate deviations of density-dependent Markov chains
• The law of the iterated logarithm for a class of SPDEs
• The large-time and vanishing-noise limits for entropy production in nondegenerate diffusions

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