Asymptotics of sample entropy production rate for stochastic differential equations

DOI10.1007/S10955-016-1513-0zbMATH Open1342.60092arXiv1510.01881OpenAlexW3099849921MaRDI QIDQ301752FDOQ301752

Jie Xiong, Feng-Yu Wang, Lihu Xu

Publication date: 1 July 2016

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

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.

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)

Cites Work

• Stochastic differential equations. An introduction with applications.
• Introduction to the theory of (non-symmetric) Dirichlet forms
• Harnack Inequalities for Stochastic Partial Differential Equations
• Harnack inequalities for functional SDEs with multiplicative noise and applications
• ON REGULARITY OF TRANSITION PROBABILITIES AND INVARIANT MEASURES OF SINGULAR DIFFUSIONS UNDER MINIMAL CONDITIONS
• Logarithmic Sobolev Inequalities
• Large and moderate deviations and exponential convergence for stochastic damping Hamiltonian systems.
• A Gallavotti-Cohen-type symmetry in the large deviation functional for stochastic dynamics
• Logarithmic Sobolev inequalities and exponential integrability
• Integration by parts formula and shift Harnack inequality for stochastic equations
• Title not available (Why is that?)
• A note on Talagrand's transportation inequality and logarithmic Sobolev inequality
• Estimates of logarithmic Sobolev constant: An improvement of Bakry-Emery criterion
• Harnack inequality for SDE with multiplicative noise and extension to Neumann semigroup on nonconvex manifolds
• Moderate deviations of dependent random variables related to CLT
• Central limit theorems for additive functionals of ergodic Markov diffusions processes
• The fluctuation theorem as a Gibbs property
• Mathematical theory of nonequilibrium steady states. On the frontier of probability and dynamical systems.
• Uniformly integrable operators and large deviations for Markov processes
• Large deviation principles for nongradient weakly asymmetric stochastic lattice gases
• Large deviations and Gallavotti-Cohen principle for dissipative PDEs with rough noise
• Strong solutions of SDEs with singular drift and Sobolev diffusion coefficients
• The large deviation principle and steady-state fluctuation theorem for the entropy production rate of a stochastic process in magnetic fields
• Ergodic properties of a class of non-Markovian processes
• Title not available (Why is that?)
• Mathematical formalism for isothermal linear irreversibility
• Large deviations of the empirical flow for continuous time Markov chains
• Title not available (Why is that?)
• Large deviation principle of occupation measures for non-linear monotone SPDEs
• Eulerian and Lagrangian pictures of non-equilibrium diffusions
• Asymptotics of the entropy production rate for \(d\)-dimensional Ornstein-Uhlenbeck processes

Cited In (6)

• 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
• Moderate deviations of density-dependent Markov chains
• Cramér-type moderate deviations for the likelihood ratio process of Ornstein–Uhlenbeck process with shift
• The law of the iterated logarithm for a class of SPDEs

This page was built for publication: Asymptotics of sample entropy production rate for stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q301752)