arXiv · 1108.3181
Variational formulation of the Fokker-Planck equation with decay: a particle approach
Abstract
We introduce a stochastic particle system that corresponds to the Fokker-Planck equation with decay in the many-particles limit, and study its large deviations. We show that the large-deviation rate functional corresponds to an energy-dissipation functional in a Gamma-convergence sense. Moreover, we prove that the resulting functional, which involves entropic terms and the Wasserstein metric, is again a variational formulation for the Fokker-Planck equation with decay.
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Mark Peletier, Michiel Renger, Marco Veneroni. 2011-08-16. Variational formulation of the Fokker-Planck equation with decay: a particle approach. https://arxiv.org/abs/1108.3181
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