Bi-Coupling Method and Applications

Abstract: 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 entropy-cost inequality is established for McKean-Vlasov SDEs with spatial-distribution dependent noise, which is open for a long time and has potential applications in optimal transport, information theory and mean field particle systems.