Electronic Communications in Probability
- Electron. Commun. Probab.
- Volume 20 (2015), paper no. 29, 8 pp.
Characterisation of gradient flows on finite state Markov chains
In his 2011 work, Maas has shown that the law of anytime-reversible continuous-time Markov chain with finite state space evolves like a gradient flow of the relative entropy with respect to its stationary distribution. In this work we show the converse to the above by showing that if the relative law of a Markov chain with finite state space evolves like a gradient flow of the relative entropy functional, it must be time-reversible. When we allow general functionals in place of the relative entropy, we show that the law of a Markov chain evolves as gradient flow if and only if the generator of the Markov chain is real diagonalisable. Finally, we discuss what aspects of the functional are uniquely determined by the Markov chain.
Electron. Commun. Probab., Volume 20 (2015), paper no. 29, 8 pp.
Accepted: 29 March 2015
First available in Project Euclid: 7 June 2016
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: MSC 60J27: Continuous-time Markov processes on discrete state spaces
This work is licensed under a Creative Commons Attribution 3.0 License.
Dietert, Helge. Characterisation of gradient flows on finite state Markov chains. Electron. Commun. Probab. 20 (2015), paper no. 29, 8 pp. doi:10.1214/ECP.v20-3521. https://projecteuclid.org/euclid.ecp/1465320956