Concentration of measure on product spaces with applications to Markov processes

DOI10.4064/SM175-1-3MaRDI QIDQ5478147zbMATH OpenOpenAlexFDO

Authors Gordon Blower, François Bolley

Publication date 30 June 2006

Published in Studia Mathematica (Search for Journal in Brave)

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

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)

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.

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Cited in

(12)

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

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