From a large-deviations principle to the Wasserstein gradient flow: a new micro-macro passage

S Adams, Nicolas Dirr, M Peletier, Johannes Zimmer

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Abstract

We study the connection between a system of many independent Brownian particles on one hand and the deterministic diffusion equation on the other. For a fixed time step h > 0, a large-deviations rate functional J h characterizes the behaviour of the particle system at t = h in terms of the initial distribution at t = 0. For the diffusion equation, a single step in the time-discretized entropy-Wasserstein gradient flow is characterized by the minimization of a functional K h . We establish a new connection between these systems by proving that J h and K h are equal up to second order in h as h → 0. This result gives a microscopic explanation of the origin of the entropy-Wasserstein gradient flow formulation of the diffusion equation. Simultaneously, the limit passage presented here gives a physically natural description of the underlying particle system by describing it as an entropic gradient flow.
Original languageEnglish
Pages (from-to)791-815
Number of pages25
JournalCommunications in Mathematical Physics
Volume307
Issue number3
Early online date23 Sep 2011
DOIs
Publication statusPublished - 1 Nov 2011

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Gradient Flow
Large Deviation Principle
Diffusion equation
Particle System
deviation
gradients
Entropy
K-functional
entropy
Large Deviations
formulations
optimization
Formulation

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From a large-deviations principle to the Wasserstein gradient flow: a new micro-macro passage. / Adams, S; Dirr, Nicolas; Peletier, M; Zimmer, Johannes.

In: Communications in Mathematical Physics, Vol. 307, No. 3, 01.11.2011, p. 791-815.

Research output: Contribution to journalArticle

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