On the Relation between Gradient Flows and the Large-Deviation Principle, with Applications to Markov Chains and Diffusion

Motivated by the occurrence in rate functions of time-dependent large-deviation principles, we study a class of non-negative functions ℒ that induce a flow, given by ℒ(ρt,ρ̇t)=0\documentclass[12pt]{minimal} \usepackage{amsmath} \usepackage{wasysym} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{amsbsy} \usepackage{mathrsfs} \usepackage{upgreek} \setlength{\oddsidemargin}{-69pt} \begin{document}$\mathcal{L} (\rho _{t},\dot \rho _{t})=0$\end{document}. We derive necessary and sufficient conditions for the unique existence of a generalized gradient structure for the induced flow, as well as explicit formulas for the corresponding driving entropy and dissipation functional. In particular, we show how these conditions can be given a probabilistic interpretation when ℒ is associated to the large deviations of a microscopic particle system. Finally, we illustrate the theory for independent Brownian particles with drift, which leads to the entropy-Wasserstein gradient structure, and for independent Markovian particles on a finite state space, which leads to a previously unknown gradient structure.