Existence and stability for Fokker-Planck equations with log-concave reference measure

Abstract

We study Markov processes associated with stochastic differential equations, whose non-linearities are gradients of convex functionals. We prove a general result of existence of such Markov processes and a priori estimates on the transition probabilities. The main result is the following stability property: if the associated invariant measures converge weakly, then the Markov processes converge in law. The proofs are based on the interpretation of a Fokker-Planck equation as the steepest descent flow of the relative entropy functional in the space of probability measures, endowed with the Wasserstein distance. © Springer-Verlag 2008.