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Advances in Mathematical Finance and Optimal Transport

Conservative Diffusions as Entropic Flows of steepest Descent

speaker: Ioannis Karatzas (Columbia University)

abstract: 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.

(Joint work with W. Schachermayer and B. Tschiderer, from Vienna. Available as https:/arxiv.orgabs2008.09220)

Wed 29 Jun, 10:00 - 10:45, Aula Dini
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