English

A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle

Probability 2021-07-23 v2

Abstract

We introduce in this paper a strategy to prove gradient estimates for some infinite-dimensional diffusions on L2L_2-Wasserstein spaces. For a specific example of a diffusion on the L2L_2-Wasserstein space of the torus, we get a Bismut-Elworthy-Li formula up to a remainder term and deduce a gradient estimate with a rate of blow-up of order O(t(2+ϵ))\mathcal{O}(t^{-(2+\epsilon)}).

Keywords

Cite

@article{arxiv.2005.04972,
  title  = {A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle},
  author = {Victor Marx},
  journal= {arXiv preprint arXiv:2005.04972},
  year   = {2021}
}