A note on Talagrand's transportation inequality and logarithmic Sobolev inequality

DOI10.1007/S00440-009-0231-9MaRDI QIDQ5961965zbMATH OpenOpenAlexFDO

Authors Patrick Cattiaux, Arnaud Guillin, Liming Wu

Publication date 16 September 2010

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0810.5435

logarithmic Sobolev inequality Lyapunov condition Talagrand transportation information inequality

Inequalities involving derivatives and differential and integral operators (26D10) Markov semigroups and applications to diffusion processes (47D07) Inequalities; stochastic orderings (60E15) Stationary stochastic processes (60G10)

Abstract: We give by simple arguments sufficient conditions, so called Lyapunov conditions, for Talagrand's transportation information inequality and for the logarithmic Sobolev inequality. Those sufficient conditions work even in the case where the Bakry-Emery curvature is not lower bounded. Several new examples are provided.

Review text

Let \((E,d)\) be a metric space -- in the sequel, a complete connected Riemannian manifold with geodesic distance -- and let \(p\in[1,\infty)\).\ Let, for \(\mu, \nu \in M^1(E)\), \(W_p(\mu,\nu)\) denote the \(L^p\)-Wasserstein distance.\ \(\mu\) satisfies the transport-entropy inequality \(W_pH(C)\), for some constant \(C>0\), if for all probabilities \(\nu\), \(W_p(\mu,\nu)\leq \left(2CH(\mu|\nu)\right)^{1/2}\), where \(H(\mu|\nu)\) denotes the Kullback-Leibler information.\ It is known that \(W_1H\) implies Gaussian concentration of measures [cf.\ \textit{K. Marton}, Ann. Probab. 24, No. 2, 857--866 (1996; Zbl 0865.60017)].\ Gaussian laws of any dimension satisfy \(W_2H(C)\) for \(C=1\) [cf. \textit{M. Talagrand}, Geom. Funct. Anal. 6, 587--600 (1996; Zbl 0859.46030)]. The authors' intention is to obtain practical criteria for \(W_2H(C)\) in terms of other prominent inequalities, in particular logarithmic Sobolev inequalities \(LSI\) and Lyapunov inequalities. Let \(d x\) denote the volume measure and, for \(V\in C^2\) with \(Z = \int e^{-V} dx <\infty\), let \(\mu\) denote the Boltzmann measure, \(\mu(d x) = e^{-V(x)} d x / Z\). Then \(LSI(C)\) holds if, for all locally Lipschitz functions \(g\), we have \(\int g^2 \log\left(g^2/(\int g^2 d \mu )\right) \,d\mu \leq 2 C \int |\nabla g|^2 \,d\mu\). It is known that \(LSI(C)\) implies \(W_2H(C)\) and that \(W_2H\) is strictly weaker than \(LSI\) [cf.\ \textit{P. Cattiaux} and \textit{A. Guillin}, J.~Math. Pures Appl. (9) 86, No. 4, 342--361 (2006; Zbl 1118.58017), and see the literature mentioned there]. Consider the \(\mu\)-symmetric operator \(\mathcal{L} = \Delta - \nabla V\cdot \nabla\) on \(C^2\). \(W\) satisfies a Lyapunov condition if \(\mathcal{L}W \leq -\phi W + b 1_{B(x_0,r)}\) for some \(\phi\geq 0\), \(r,b>0\) and \(x_0\in E\). In the main theorem (Theorem 1.2) the authors show that Lyapunov conditions of the form \(\mathcal{L}W\leq (-c d^2(x,x_0) +b)\cdot W\) (for \(x_0\in E\), \(b,c>0\), \(W\geq 1\)) imply \(W_2H(C)\) for some \(C>0\), and, moreover, that such a Lyapunov condition together with \(\text{Hess}(V) + \text{Ric}\geq K\cdot \text{Id}\) (for some \(K\leq 0\)) implies \(LSI\). Section 2 compares the criteria of Theorem 1.2 with other practical criteria; Section 3 contains the proof of Theorem~1.2, while Section 4 contains some more criteria related to \(W_2H\) and \(LSI\).

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