Bi-Coupling Method and Applications
Fuente:
arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2023
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| _version_ | 1866908396818530304 |
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| author | Ren, Panpan Wang, Feng-Yu |
| author_facet | Ren, Panpan Wang, Feng-Yu |
| contents | By developing a new technique called the bi-coupling argument, we estimate the relative entropy between different diffusion processes in terms of the distances of initial distributions and drift-diffusion coefficients. As an application, the entropy-cost inequality is established for McKean-Vlasov SDEs with spatial-distribution dependent noise, which is open for a long time and has potential applications in optimal transport, information theory and mean field particle systems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2302_13500 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Bi-Coupling Method and Applications Ren, Panpan Wang, Feng-Yu Probability By developing a new technique called the bi-coupling argument, we estimate the relative entropy between different diffusion processes in terms of the distances of initial distributions and drift-diffusion coefficients. As an application, the entropy-cost inequality is established for McKean-Vlasov SDEs with spatial-distribution dependent noise, which is open for a long time and has potential applications in optimal transport, information theory and mean field particle systems. |
| title | Bi-Coupling Method and Applications |
| topic | Probability |
| url | https://arxiv.org/abs/2302.13500 |