On the rate of change of Varentropy for Markov diffusion processes
Probability
2023-11-14 v1
Abstract
Relying on the reverse-time space-time harmonic property of the ratio of two solutions of the Fokker-Plank equation, we establish an explicit formula for derivative of the \emph{varentropy} for a Markov diffusion process. The formula involves a nonlinear function of the {\em local free energy} .We then verify that our formula yields the correct result in the simple case of a scalar Gaussian diffusion. In the latter case, varentropy is exponentially decaying to zero.
Keywords
Cite
@article{arxiv.2311.06824,
title = {On the rate of change of Varentropy for Markov diffusion processes},
author = {Michele Pavon},
journal= {arXiv preprint arXiv:2311.06824},
year = {2023}
}