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Register a new userEntropy Production and Information Flow for Markov Diffusions with Filtering
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Filtering theory gives an explicit models for the flow of information and thereby quantifies the rates of change of information supplied to and dissipated from the filters memory. Here we extend the analysis of Mitter and Newton from linear Gaussian models to general nonlinear filters involving Markov diffusions.The rates of entropy production are now generally the average squared-field (co-metric) of various logarithmic probability densities, which may be interpreted as Fisher information associate with Gaussian perturbations (via de Bruijns identity). We show that the central connection is made through the Mayer-Wolf and Zakai Theorem for the rate of change of the mutual information between the filtered state and the observation history. In particular, we extend this Theorem to cover a Markov diffusion controlled by observations process, which may be interpreted as the filter acting as a Maxwells Daemon applying feedback to the system.
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We consider infinite-dimensional diffusions where the interaction between the coordinates has a finite extent both in space and time. In particular, it is not supposed to be smooth or Markov. The initial state of the system is Gibbs, given by a strong summable interaction. If the strongness of this initial interaction is lower than a suitable level, and if the dynamical interaction is bounded from above in a right way, we prove that the law of the diffusion at any time t is a Gibbs measure with absolutely summable interaction. The main tool is a cluster expansion in space uniformly in time of the Girsanov factor coming from the dynamics and exponential ergodicity of the free dynamics to an equilibrium product measure.
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The celebrated elliptic law describes the distribution of eigenvalues of random matrices with correlations between off-diagonal pairs of elements, having applications to a wide range of physical and biological systems. Here, we investigate the generalization of this law to random matrices exhibiting higher-order cyclic correlations between $k$-tuples of matrix entries. We show that the eigenvalue spectrum in this ensemble is bounded by a hypotrochoid curve with $k$-fold rotational symmetry. This hypotrochoid law applies to full matrices as well as sparse ones, and thereby holds with remarkable universality. We further extend our analysis to matrices and graphs with competing cycle motifs, which are described more generally by polytrochoid spectral boundaries.
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