Saturday, 14 June 2008

pr.probability - Entropy of Markov processes

Consider a Markov process Xt with generator L and invariant distribution pi, whose distribution at time t is given by pi(t,dx)=phi(t,x)pi(dx) - in other word, phi(t,x) is the density of pi(t,dx) wiht respect to the invariant distribution pi. Define the (relative) entropy
S(t)=intphi(t,x)lnphi(t,x)pi(dx)leq0.



One can expect (Boltzman H-theorem) the entropy S to increase over time, and eventually to converge to 0.



question: what conditions should be imposed in order for such a result to be true ?



Fokker-Planck equation shows that for any test function f,
intf(x)partialtphi(t,x)pi(dx)=int(Lf)(x)phi(t,x)pi(dx)


so that
S(t)=intL(lncircphi)(x,t)phi(x,t)pi(dx),

but I still do not see why this quantity should be non-negative.

No comments:

Post a Comment