Adams, Steffan, Dirr, Nicolas, Peletier, Mark and Zimmer, Johannes 2011. From a Large-Deviations Principle to the Wasserstein Gradient Flow: A New Micro-Macro Passage. Communications in Mathematical Physics 307 (3) , pp. 791-815. 10.1007/s00220-011-1328-4 |
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.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Subjects: | Q Science > QA Mathematics |
Publisher: | Springer |
ISSN: | 0010-3616 |
Last Modified: | 05 Jun 2017 02:41 |
URI: | http://orca.cf.ac.uk/id/eprint/17472 |
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