Evolution of the Wasserstein distance between the marginals of two Markov processes

Aurélien Alfonsi, Jacopo Corbetta, Benjamin Jourdain

Published 2016-06-09Version 1

In this paper, we are interested in the time derivative of the Wasserstein distance between the marginals of two Markov processes. As recalled in the introduction, the Kantorovich duality leads to a natural candidate for this derivative. Up to the sign, it is the sum of the integrals with respect to each of the two marginals of the corresponding generator applied to the corresponding Kantorovich potential. For pure jump processes with bounded intensity of jumps, we prove that the evolution of the Wasserstein distance is actually given by this candidate. In dimension one, we show that this remains true for Piecewise Deterministic Markov Processes.