The inequality and the entropy dissipation identity for Ornstein-Uhlenbeck flow imply . An integrating factor proves the displayed estimate from initial entropy alone. Pinsker's inequality then gives .
Past exam of the mathematics course of the University of Cambridge 2015 iii Paper 8 3 d Solution Created 2026-10-03 Updated 2026-10-06
For positive smooth with the stated decay, integration by parts givesand, using unit mass,For zero values of , these calculations can be made with the positive unit-mass approximation and then passed to the limit whenever the quantities are finite. Positive-time solutions also have the usual Gaussian smoothing.
Since , mass conservation givesThe derivative of the first term is , because . The two identities above and the energy equation in (b), with , yieldNow expand the relative Fisher information:where . Thus the entropy dissipation identity for Ornstein-Uhlenbeck flow is
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 .