Entropy Estimate Between Diffusion Processes and Application to McKean-Vlasov SDEs

Panpan Ren, Feng-Yu Wang

Published 2023-02-27Version 1

By developing a new technique called the bi-coupling argument, we estimate the relative entropy between different diffusion processes in terms of the distances of initial distributions and drift-diffusion coefficients. As an application, the log-Harnack inequality is established for McKean-Vlasov SDEs with multiplicative distribution dependent noise, which appears for the first time in the literature.