Bernoulli

  • Bernoulli
  • Volume 24, Number 4A (2018), 2461-2498.

Evolution of the Wasserstein distance between the marginals of two Markov processes

Aurélien Alfonsi, Jacopo Corbetta, and Benjamin Jourdain

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Abstract

In this paper, we are interested in the time derivative of the Wasserstein distance between the marginals of two Markov processes. As recalled in the introduction, the Kantorovich duality leads to a natural candidate for this derivative. Up to the sign, it is the sum of the integrals with respect to each of the two marginals of the corresponding generator applied to the corresponding Kantorovich potential. For pure jump processes with bounded intensity of jumps, we prove that the evolution of the Wasserstein distance is actually given by this candidate. In dimension one, we show that this remains true for Piecewise Deterministic Markov Processes. We apply the formula to estimate the exponential decrease rate of the Wasserstein distance between the marginals of two birth and death processes with the same generator in terms of the Wasserstein curvature.

Article information

Source
Bernoulli, Volume 24, Number 4A (2018), 2461-2498.

Dates
Received: June 2016
Revised: December 2016
First available in Project Euclid: 26 March 2018

Permanent link to this document
https://projecteuclid.org/euclid.bj/1522051215

Digital Object Identifier
doi:10.3150/17-BEJ934

Mathematical Reviews number (MathSciNet)
MR3779692

Zentralblatt MATH identifier
06853255

Keywords
birth and death processes optimal transport piecewise deterministic Markov processes pure jump Markov processes Wasserstein distance

Citation

Alfonsi, Aurélien; Corbetta, Jacopo; Jourdain, Benjamin. Evolution of the Wasserstein distance between the marginals of two Markov processes. Bernoulli 24 (2018), no. 4A, 2461--2498. doi:10.3150/17-BEJ934. https://projecteuclid.org/euclid.bj/1522051215


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