An entropic interpolation proof of the HWI inequality

Ivan Gentil, Christian Léonard, Luigia Ripani and Luca Tamanini

Stochastic Processes and their Applications, 2020, vol. 130, issue 2, 907-923

Abstract: The HWI inequality is an “interpolation”inequality between the EntropyH, the Fisher informationI and the Wasserstein distanceW. We present a pathwise proof of the HWI inequality which is obtained through a zero noise limit of the Schrödinger problem. Our approach consists in making rigorous the Otto–Villani heuristics in Otto and Villani (2000) taking advantage of the entropic interpolations, which are regular both in space and time, rather than the displacement ones.

Keywords: Entropic interpolations; Schrödinger problem; Relative entropy; Fisher information; Wasserstein distance (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304414918303454
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:130:y:2020:i:2:p:907-923

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spa.2019.04.002

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().