From a large-deviations principle to the Wasserstein gradient flow: a new micro-macro passage

DOI10.1007/S00220-011-1328-4zbMATH Open1267.60106arXiv1004.4076OpenAlexW3098539775WikidataQ59873999 ScholiaQ59873999MaRDI QIDQ647376FDOQ647376

Authors: Stefan Adams, Nicolas Dirr, Johannes Zimmer, Mark A. Peletier 

Publication date: 23 November 2011

Published in: Communications in Mathematical Physics (Search for Journal in Brave)

Abstract: We study the connection between a system of many independent Brownian particles on one hand and the deterministic diffusion equation on the other. For a fixed time step $h>0$, a large-deviations rate functional $J_h$ characterizes the behaviour of the particle system at $t=h$ in terms of the initial distribution at $t=0$. For the diffusion equation, a single step in the time-discretized entropy-Wasserstein gradient flow is characterized by the minimization of a functional $K_h$. We establish a new connection between these systems by proving that $J_h$ and $K_h$ are equal up to second order in $h$ as $ho0$. This result gives a microscopic explanation of the origin of the entropy-Wasserstein gradient flow formulation of the diffusion equation. Simultaneously, the limit passage presented here gives a physically natural description of the underlying particle system by describing it as an entropic gradient flow.

Full work available at URL: https://arxiv.org/abs/1004.4076

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Mathematics Subject Classification ID

Large deviations (60F10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

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