Variational formulation of the Fokker-Planck equation with decay: a particle approach

Abstract

We introduce a stochastic particle system that corresponds to the Fokker-Planck equation with decay in the many-particles limit, and study its large deviations. We show that the large-deviation rate functional corresponds to an energy-dissipation functional in a Gamma-convergence sense. Moreover, we prove that the resulting functional, which involves entropic terms and the Wasserstein metric, is again a variational formulation for the Fokker-Planck equation with decay.