Variational structures for the Fokker--Planck equation with general Dirichlet boundary conditions

Abstract: We prove the convergence of a modified Jordan--Kinderlehrer--Otto scheme to a solution to the Fokker--Planck equation in $\Omega \Subset \mathbb{R}^d$ with general, positive and temporally constant, Dirichlet boundary conditions. We work under mild assumptions on the domain, the drift, and the initial datum. In the special case where $\Omega$ is an interval in $\mathbb{R}^1$, we prove that such a solution is a gradient flow -- curve of maximal slope -- within a suitable space of measures, endowed with a modified Wasserstein distance. Our discrete scheme and modified distance draw inspiration from contributions by A. Figalli and N. Gigli [J. Math. Pures Appl. 94, (2010), pp. 107--130], and J. Morales [J. Math. Pures Appl. 112, (2018), pp. 41--88] on an optimal-transport approach to evolution equations with Dirichlet boundary conditions. Similarly to these works, we allow the mass to flow from/to the boundary $\partial \Omega$ throughout the evolution. However, our leading idea is to also keep track of the mass at the boundary by working with measures defined on the whole closure $\overline \Omega$. The driving functional is a modification of the classical relative entropy that also makes use of the information at the boundary. As an intermediate result, when $\Omega$ is an interval in $\mathbb{R}^1$, we find a formula for the descending slope of this geodesically nonconvex functional.