Concentration of measure on product spaces with applications to Markov processes

DOI10.4064/SM175-1-3zbMATH Open1101.60009arXivmath/0505536OpenAlexW2001716788MaRDI QIDQ5478147FDOQ5478147

Authors: Gordon Blower, François Bolley 

Publication date: 30 June 2006

Published in: Studia Mathematica (Search for Journal in Brave)

Abstract: For a stochastic process with state space some Polish space, this paper gives sufficient conditions on the initial and conditional distributions for the joint law to satisfy Gaussian concentration inequalities, transportation inequalities and also logarithmic Sobolev inequalities in the case of the Euclidean space. In several cases, the obtained constants are of optimal order of growth with respect to the number of variables, or are independent of this number. These results extend results known for mutually independent variables to weakly dependent variables under Dobrushin-Shlosman type conditions.

Full work available at URL: https://arxiv.org/abs/math/0505536

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zbMATH Keywords

optimal transportationlogarithmic Sobolev inequality

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Inequalities; stochastic orderings (60E15) Functional inequalities, including subadditivity, convexity, etc. (39B62)

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• Sharp non-asymptotic concentration inequalities for the approximation of the invariant distribution of a diffusion
• Transportation on spheres via an entropy formula
• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Convergence rates for empirical measures of Markov chains in dual and Wasserstein distances
• Concentration of measure inequalities for Markov chains and \(\Phi\)-mixing processes.
• Hypercontractivity and transport-information inequalities for Gaussian ARMA model
• A two-scale approach to logarithmic Sobolev inequalities and the hydrodynamic limit
• A new criterion for the logarithmic Sobolev inequality and two applications
• Partial differential equations and stochastic methods in molecular dynamics
• Deviation inequalities and moderate deviations for estimators of parameters in TAR models
• Hasimoto frames and the Gibbs measure of the periodic nonlinear Schrödinger equation
• Concentration of the invariant measures for the periodic Zakharov, KdV, NLS and Gross-Piatevskii equations in \(1D\) and \(2D\)

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