IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-030-98519-6_10.html
   My bibliography  Save this book chapter

A Variational Characterization of Langevin-Smoluchowski Diffusions

In: Stochastic Analysis, Filtering, and Stochastic Optimization

Author

Listed:
  • Ioannis Karatzas

    (Department of Mathematics, Columbia University, 2990 Broadway)

  • Bertram Tschiderer

    (Faculty of Mathematics, University of Vienna)

Abstract

We show that Langevin–Smoluchowski measure on path space is invariant under time-reversal, followed by stochastic control of the drift with a novel entropic-type criterion. Repeated application of these forward-backward steps leads to a sequence of stochastic control problems, whose initial/terminal distributions converge to the Gibbs probability measure of the diffusion, and whose values decrease to zero along the relative entropy of the Langevin–Smoluchowski flow with respect to this Gibbs measure.

Suggested Citation

  • Ioannis Karatzas & Bertram Tschiderer, 2022. "A Variational Characterization of Langevin-Smoluchowski Diffusions," Springer Books, in: George Yin & Thaleia Zariphopoulou (ed.), Stochastic Analysis, Filtering, and Stochastic Optimization, pages 239-265, Springer.
    • Handle: RePEc:spr:sprchp:978-3-030-98519-6_10
    DOI: 10.1007/978-3-030-98519-6_10
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-030-98519-6_10. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.