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Characterisation of gradient flows on finite state Markov chains


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Authors

Dietert, Helge 

Abstract

In his 2011 work, Maas has shown that the law of any time-reversible continuoustime Markov chain with finite state space evolves like a gradient flow of the relative entropy with respect to its stationary distribution. In this work we show the converse to the above by showing that if the relative law of a Markov chain with finite state space evolves like a gradient flow of the relative entropy functional, it must be timereversible. When we allow general functionals in place of the relative entropy, we show that the law of a Markov chain evolves as gradient flow if and only if the generator of the Markov chain is real diagonalisable. Finally, we discuss what aspects of the functional are uniquely determined by the Markov chain.

Description

This is the final published version. It first appeared at http://ecp.ejpecp.org/article/view/3521.

Keywords

Gradient flows, Finite state Markov chains, Time-reversibility

Journal Title

Electronic Communications in Probability

Conference Name

Journal ISSN

1083-589X

Volume Title

20

Publisher

Institute of Mathematical Statistics
Sponsorship
UK Engineering and Physical Sciences Research Council (EPSRC) grant EP/H023348/1 for the University of Cambridge Centre for Doctoral Training, the Cambridge Centre for Analysis.