A Bismut–Elworthy inequality for a Wasserstein diffusion on the circle

We introduce in this paper a strategy to prove gradient estimates for some infinite-dimensional diffusions on $$L_2$$ L 2 -Wasserstein spaces. For a specific example of a diffusion on the $$L_2$$ L 2 -Wasserstein space of the torus, we get a Bismut-Elworthy-Li formula up to a remainder term and deduce a gradient estimate with a rate of blow-up of order $$\mathcal O(t^{-(2+\varepsilon )})$$ O ( t - ( 2 + ε ) ) .

Ensemble Riemannian data assimilation over the Wasserstein space

In this paper, we present an ensemble data assimilation paradigm over a Riemannian manifold equipped with the Wasserstein metric. Unlike the Euclidean distance used in classic data assimilation methodologies, the Wasserstein metric can capture the translation and difference between the shapes of square-integrable probability distributions of the background state and observations. This enables us to formally penalize geophysical biases in state space with non-Gaussian distributions. The new approach is applied to dissipative and chaotic evolutionary dynamics, and its potential advantages and limitations are highlighted compared to the classic ensemble data assimilation approaches under systematic errors.

Coordinate-wise transformation of probability distributions to achieve a Stein-type identity

It is shown that for any given multi-dimensional probability distribution with regularity conditions, there exists a unique coordinate-wise transformation such that the transformed distribution satisfies a Stein-type identity. A sufficient condition for the existence is referred to as copositivity of distributions. The proof is based on an energy minimization problem over a totally geodesic subset of the Wasserstein space. The result is considered as an alternative to Sklar’s theorem regarding copulas, and is also interpreted as a generalization of a diagonal scaling theorem. The Stein-type identity is applied to a rating problem of multivariate data. A numerical procedure for piece-wise uniform densities is provided. Some open problems are also discussed.

Compatibility of state constraints and dynamics for multiagent control systems

This study concerns the problem of compatibility of state constraints with a multiagent control system. Such a system deals with a number of agents so large that only a statistical description is available. For this reason, the state variable is described by a probability measure on $${\mathbb {R}}^d$$ R d representing the density of the agents and evolving according to the so-called continuity equation which is an equation stated in the Wasserstein space of probability measures. The aim of the paper is to provide a necessary and sufficient condition for a given constraint (a closed subset of the Wasserstein space) to be compatible with the controlled continuity equation. This new condition is characterized in a viscosity sense as follows: the distance function to the constraint set is a viscosity supersolution of a suitable Hamilton–Jacobi–Bellman equation stated on the Wasserstein space. As a byproduct and key ingredient of our approach, we obtain a new comparison theorem for evolutionary Hamilton–Jacobi equations in the Wasserstein space.