Top-level heading

A gradient flow approach to large deviations for diffusion processes

Data e ora inizio evento
Data e ora fine evento
Sede

Dipartimento di Matematica Guido Castelnuovo, Sapienza Università di Roma

Aula
Sala di Consiglio
Speaker ed affiliazione

Max Fathi (Parigi)

In the 80s, De Giorgi introduced the notion of abstract gradient flows, which allowed to define a notion of solutions to ordinary differential equations of the form x' = −grad F(x) on metric spaces (rather than Riemannian manifolds for the usual definition). In 2005, Ambrosio, Gigli and Savare showed that when we consider the space of probability measures on R d endowed with the Wasserstein metric, this notion allows to give an alternate formulation for Fokker-Planck equations. These equations are the PDEs whose solutions are the flow of marginals of solutions of stochastic differential equations of the form dX = −grad H(X)dt + dB . In this talk, I will explain how we can use this notion to study large deviations for sequences of SDEs. The main result is that proving a large deviation principle is equivalent to studying the limit of a sequence of functionals that appear in the abstract gradient flow formulation for Fokker-Planck equations. As an application, I will show how to obtain large deviations from the hydrodynamic scaling limit for a system of interacting continuous spins in a random environment.