Research Article
Entropy Estimate Between Diffusion Processes and Application to McKean-Vlasov SDEs
https://doi.org/10.21203/rs.3.rs-2636096/v1
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By developing a new technique called the bi-coupling argument, we estimate the relative entropy between different diffusion processes in terms of the distances of initial distributions and drift-diffusion coefficients. As an application, the log-Harnack inequality is established for McKean-Vlasov SDEs with multiplicative distribution dependent noise, which appears for the first time in the literature.
Entropy
bi-coupling
diffusion process
McKean-Vlasov SDE
log-Harnack inequality
No competing interests reported.
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You are reading this latest preprint version