Past exam of the mathematics course of the University of Cambridge 2015 iii Paper 8 3 f Solution Created 2026-10-03 Updated 2026-10-06
Use the zero entropy limit supplied in this subpart. By the fundamental theorem of calculus and the entropy dissipation identity for Ornstein-Uhlenbeck flow,Apply the relative Fisher information decay estimate starting at time :Thus the requested entropy-dissipation inequality isIt is the Gaussian logarithmic Sobolev inequality along this evolution. Since , an integrating factor gives the entropy convergence rate for Ornstein-Uhlenbeck flow:For finite initial entropy, therefore converges to the stationary Gaussian density in relative entropy at rate . If desired, Pinsker's inequality also converts this to the density estimate .