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arXiv · 1910.07480

Entropy dissipation for degenerate stochastic differential equations via sub-Riemannian density manifold

Qi Feng·Wuchen Li
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Abstract

We study the dynamical behaviors of degenerate stochastic differential equations (SDEs). We select an auxiliary Fisher information functional as the Lyapunov functional. Using generalized Fisher information, we conduct the Lyapunov exponential convergence analysis of degenerate SDEs. We derive the convergence rate condition by generalized Gamma calculus. Examples of the generalized Bochner's formula are provided in the Heisenberg group, displacement group, and Martinet sub-Riemannian structure. We show that the generalized Bochner's formula follows a generalized second-order calculus of Kullback-Leibler divergence in density space embedded with a sub-Riemannian type optimal transport metric.

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Qi Feng, Wuchen Li. 2019-10-16. Entropy dissipation for degenerate stochastic differential equations via sub-Riemannian density manifold. https://doi.org/10.3390/e25050786

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