Asymptotics of Sample Entropy Production Rate for Stochastic Differential Equations

Abstract

By using the dimension-free Harnack inequality and the integration by parts formula for the associated diffusion semigroup, we prove the central limit theorem, the moderate deviation principle, and the logarithmic iteration law for the sample entropy production rate of stochastic differential equations with Lipschitz continuous and dissipative drifts.

References in corpus (2)

• Harnack Inequalities for Functional SDEs with Multiplicative Noise and Applications
• Asymptotics of the entropy production rate for $d$-dimensional Ornstein-Uhlenbeck processes

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• The Law of the Iterated Logarithm for a Class of SPDEs
• The large-time and vanishing-noise limits for entropy production in nondegenerate diffusions