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

DOI10.1007/S00220-011-1328-4MaRDI QIDQ647376zbMATH OpenOpenAlexWikidataFDO

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)

Full work available at URL https://arxiv.org/abs/1004.4076, http://opus.bath.ac.uk/23461/1/Zimmer_CMP_2011_307_3_791.pdf

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)

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.

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