Ioannis Karatzas, Columbia University

Conservative Diffusions and Markov Chains as Entropic Flows of Steepest Descent
Sep 20, 2022, 4:30 pm5:30 pm
101 - Sherrerd Hall


Event Description

We provide a detailed, probabilistic interpretation for the variational characterization of conservative diffusions as entropic flows of steepest descent. Jordan, Kinderlehrer, and Otto showed in 1998, via a numerical scheme, that for diffusions of Langevin-Smoluchowski type the Fokker-Planck probability density flow minimizes the rate of relative entropy dissipation, as measured by the distance traveled in terms of the quadratic Wasserstein metric in the ambient space of configurations. Using a very direct perturbation analysis we obtain novel, stochastic-process versions of such features; these are valid along almost every trajectory of the motion in both the forward and, most transparently, the backward, directions of time. The original results follow then simply by “aggregating”, i.e., taking expectations. As a bonus we obtain a version of the HWI inequality of Otto and Villani, relating relative entropy, Fisher information, and Wasserstein distance. Similar results are outlined for reversible Markov Chains.

(Joint work with W. Schachermayer, B. Tschiderer and J. Maas, from Vienna.)

Event Category
ORFE Department Colloquia