Nonlinear Fokker--Planck--Kolmogorov equations as gradient flows on the space of probability measures

Marco Rehmeier, Michael Röckner

Published 2023-06-15Version 1

We propose a general method to identify nonlinear Fokker--Planck--Kolmogorov equations (FPK equations) as gradient flows on the space of probability measures on $\mathbb{R}^d$ with a natural differential geometry. Our notion of gradient flow does not depend on any underlying metric structure such as the Wasserstein distance, but is derived from purely differential geometric principles. We explicitly identify the associated energy functions $E$ and show that these are Lyapunov functions for the FPK solutions. Moreover, we show restricted uniqueness results for such gradient flows, and we also prove that the gradient of $E$ is a gradient field on $\mathbb{R}^d$, which can be approximated by smooth gradient fields. These results cover classical and generalized porous media equations, where the latter have a generalized diffusivity function and a nonlinear transport-type first-order perturbation.