The HWI inequality is an “interpolation”inequality between the Entropy H, the Fisher information I and the Wasserstein distance W. We present a pathwise proof of the HWI inequality which is obtained through a zero noise limit of the Schrödinger problem. Our approach consists in making rigorous the Otto–Villani heuristics in Otto and Villani (2000) taking advantage of the entropic interpolations, which are regular both in space and time, rather than the displacement ones.

%B Stochastic Processes and their Applications %G eng %U http://www.sciencedirect.com/science/article/pii/S0304414918303454 %R https://doi.org/10.1016/j.spa.2019.04.002