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2015 Limits of relative entropies associated with weakly interacting particle systems
Amarjit Budhiraja, Paul Dupuis, Markus Fischer, Kavita Ramanan
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Electron. J. Probab. 20: 1-22 (2015). DOI: 10.1214/EJP.v20-4003

Abstract

The limits of scaled relative entropies between probability distributions associated with $N$-particle weakly interacting Markov processes are considered. The convergence of such scaled relative entropies is established in various settings. The analysis is motivated by the role relative entropy plays as a Lyapunov function for the (linear) Kolmogorov forward equation associated with an ergodic Markov process, and Lyapunov function properties of these scaling limits with respect to nonlinear finite-state Markov processes are studied in the companion paper

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Amarjit Budhiraja. Paul Dupuis. Markus Fischer. Kavita Ramanan. "Limits of relative entropies associated with weakly interacting particle systems." Electron. J. Probab. 20 1 - 22, 2015. https://doi.org/10.1214/EJP.v20-4003

Information

Accepted: 4 August 2015; Published: 2015
First available in Project Euclid: 4 June 2016

zbMATH: 1321.60202
MathSciNet: MR3383564
Digital Object Identifier: 10.1214/EJP.v20-4003

Subjects:
Primary: 60K35
Secondary: 34D20, 60F10, 60K25, 93D30

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