Variational formulation of the Fokker-Planck equation with decay: a particle approach

Details Variational formulation of the Fokker-Planck equation with decay: a particle approach Variational formulation of the Fokker-Planck equation with decay: a particle approach

2011-08-16

arxiv.org/abs/1108.3181v1

Mathematics

Analysis of PDEs

Scientific paper

We introduce a stochastic particle system that corresponds to the Fokker-Planck equation with decay in the many-particles limit, and study its large deviations. We show that the large-deviation rate functional corresponds to an energy-dissipation functional in a Gamma-convergence sense. Moreover, we prove that the resulting functional, which involves entropic terms and the Wasserstein metric, is again a variational formulation for the Fokker-Planck equation with decay.

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