TRANSPORT INEQUALITIES.

A SURVEY

NATHAEL GOZLAN, CHRISTIAN LÉONARD

arXiv:1003.3852v1 [math.PR] 19 Mar 2010

Abstract. This is a survey of recent developments in the area of transport inequalities.

We investigate their consequences in terms of concentration and deviation inequalities and
sketch their links with other functional inequalities and also large deviation theory.

Introduction

In the whole paper, X is a polish (complete metric and separable) space equipped with its
Borel σ-field and we denote P(X ) the set of all Borel probability measures on X .
Transport inequalities relate a cost T (ν, µ) of transporting a generic probability measure
ν ∈ P(X ) onto a reference probability measure µ ∈ P(X ) with another functional J(ν|µ). A
typical transport inequality is written:
α(T (ν, µ)) ≤ J(ν|µ), for all ν ∈ P(X ),
where α : [0, ∞) → [0, ∞) is an increasing function with α(0) = 0. In this case, it is said that
the reference probability measure µ satisfies α(T ) ≤ J.
Typical transport inequalities are built with T = Wpp where Wp is the Wasserstein metric
of order p, and J(·|µ) = H(·|µ) is the relative entropy with respect to µ. The left-hand side
of
α(Wpp ) ≤ H
contains W which is built with some metric d on X , while its right-hand side is the relative
entropy H which, as Sanov’s theorem indicates, is a measurement of the difficulty for a
large sample of independent particles with common law µ to deviate from the prediction
of the law of large numbers. On the left-hand side: a cost for displacing mass in terms
of the ambient metric d; on the right-hand side: a cost for displacing mass in terms of
fluctuations. Therefore, it is not a surprise that this interplay between displacement and
fluctuations gives rise to a quantification of how fast µ(Ar ) tends to 1 as r ≥ 0 increases, where
Ar := {x ∈ X ; d(x, y) ≤ r for some y ∈ A} is the enlargement of size r with respect to the
metric d of the subset A ⊂ X . Indeed, we shall see that such transport-entropy inequalities are
intimately related to the concentration of measure phenomenon and to deviation inequalities
for average observables of samples.

Date: March 22, 2010.

2000 Mathematics Subject Classification. 26D10, 60E15.
Key words and phrases. Transport inequalities, optimal transport, relative entropy, Fisher information,
concentration of measure, deviation inequalities, logarithmic Sobolev inequalities, inf-convolution inequalities,
large deviations.
1
2 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Other transport inequalities are built with the Fisher information I(·|µ) instead of the
relative entropy on the right-hand side. It is known since Donsker and Varadhan, see [40, 36],
that I is a measurement of the fluctuations of the occupation measure of a very long trajectory
of a time-continuous Markov process with invariant ergodic law µ. Again, the transport-
information inequality α(Wpp ) ≤ I allows to quantify concentration and deviation properties
of µ.
Finally, there exist also free transport inequalities. They compare a transport cost with
a free relative entropy which is the large deviation rate function of the spectral empirical
measures of large random matrices, as was proved by Ben Arous and Guionnet [13].
This is a survey paper about transport inequalities: a research topic which flied off in
1996 with the publications of several papers on the subject by Dembo, Marton, Talagrand
and Zeitouni [33, 34, 77, 78, 102]. It was known from the end of the sixties that the total
variation norm of the difference of two probability measures is controlled by their relative
entropy. This is expressed by the Csiszár-Kullback-Pinsker inequality [90, 32, 64] which is a
transport inequality from which deviation inequalities have been derived. But the keystone
of the edifice was the discovery in 1986 by Marton [76] of the link between transport inequal-
ities and the concentration of measure. This result was motivated by information theoretic
problems; it remained unknown to the analysts and probabilists during ten years. Mean-
while, during the second part of the nineties, important progresses about the understanding
of optimal transport have been achieved, opening the way to new unified proofs of several
related functional inequalities, including a certain class of transport inequalities.
Concentration of measure inequalities can be obtained by means of other functional in-
equalities such as isoperimetric and logarithmic Sobolev inequalities, see the textbook by
Ledoux [68] for an excellent account on the subject. Consequently, one expects that there
are deep connections between these various inequalities. Indeed, during the recent years,
these links have been explored and some of them have been clarified.
These recent developments will be sketched in the following pages.
No doubt that our treatment of this vast subject fails to be exhaustive. We apologize in
advance for all kind of omissions. All comments, suggestions and reports of omissions are
welcome.

Contents

Introduction 1
1. An overview 3
2. Optimal transport 12
3. Dual equalities and inequalities 18
4. Concentration for product probability measures 22
5. Transport-entropy inequalities and large deviations 26
6. Integral criteria 30
7. Transport inequalities with uniformly convex potentials 31
 TRANSPORT INEQUALITIES 3

8. Links with other functional inequalities 37

9. Workable sufficient conditions for transport-entropy inequalities 47
10. Transport-information inequalities 55
11. Transport inequalities for Gibbs measures 62
12. Free transport inequalities 68
13. Optimal transport is a tool for proving other functional inequalities 72
Appendix A. Tensorization of transport costs 74
Appendix B. Variational representations of the relative entropy 77
References 78

The authors are grateful to the organizers of the conference on Inhomogeneous Random
Systems for this opportunity to present transport inequalities to a broad community of physi-
cists and mathematicians.

1. An overview

In order to present as soon as possible a couple of important transport inequalities and

their consequences in terms of concentration of measure and deviation inequalities, let us
recall precise definitions of the optimal transport cost and the relative entropy.

Optimal transport cost. Let c be a [0, ∞)-valued lower semicontinuous function on the
polish product space X 2 and fix µ, ν ∈ P(X ). The Monge-Kantorovich optimal transport
problem is
Z
2
(MK) Minimize π ∈ P(X ) 7→ c(x, y) dπ(x, y) ∈ [0, ∞] subject to π0 = ν, π1 = µ
X2
where π0 , π1 ∈ P (X ) are the first and second marginals of π ∈ P(X 2 ). Any π ∈ P(X 2 ) such
that π0 = ν and π1 = µ is called a coupling of ν and µ. The value of this convex minimization
problem is
Z 
2
(1) Tc (ν, µ) := inf c(x, y) dπ(x, y); π ∈ P(X ); π0 = ν, π1 = µ ∈ [0, ∞].
X2
It is called the optimal cost for transporting ν onto µ. Under the natural assumption that
c(x, x) = 0, for all x ∈ X , we have: Tc (µ, µ) = 0, and Tc (ν, µ) can be interpreted as a cost for
coupling ν and µ.
A popular cost function is c = dp with d a metric on X and p ≥ 1. One can prove that under
some conditions
Wp (ν, µ) := Tdp (ν, µ)1/p
defines a metric on a subset of P(X ). This is the Wasserstein metric of order p (see e.g [104,
Chp 6]). A deeper investigation of optimal transport is presented at Section 2. It will be
necessary for a better understanding of transport inequalities.
4 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Relative entropy. The relative entropy with respect to µ ∈ P(X ) is defined by

( R  
dν
H(ν|µ) = X log dµ dν if ν ≪ µ , ν ∈ P(X ).
+∞ otherwise
R
For any probability measures ν ≪ µ, one can rewrite H(ν|µ) = h(dν/dµ) dµ with h(t) =
t log t − t + 1 which is a strictly convex nonnegative function such that h(t) = 0 ⇔ t = 1.

0 1 t

Graphic representation of h(t) = t log t − t + 1.

Hence, ν 7→ H(ν|µ) ∈ [0, ∞] is a convex function and H(ν|µ) = 0 if and only if ν = µ.

Transport inequalities. We can now define a general class of inequalities involving trans-
port costs.
Definition 1.1 (Transport inequalities). Besides the cost function c, consider also two func-
tions J( · |µ) : P(X ) → [0, ∞] and α : [0, ∞) → [0, ∞) an increasing function such that
α(0) = 0. One says that µ ∈ P(X ) satisfies the transport inequality α(Tc ) ≤ J if
(α(Tc ) ≤ J) α(Tc (ν, µ)) ≤ J(ν|µ), for all ν ∈ P(X ).
When J( · ) = H( · |µ), one talks about transport-entropy inequalities.

For the moment, we focus on transport-entropy inequalities, but in Section 10, we shall
encounter the class of transport-information inequalities, where the functional J is the Fisher
information.
Note that, because of H(µ|µ) = 0, for the transport-entropy inequality to hold true, it is
necessary that α(Tc (µ, µ)) = 0. A sufficient condition for the latter equality is
• c(x, x) = 0, for all x ∈ X and
• α(0) = 0.
This will always be assumed in the remainder of this article.
Among this general family of inequalities, let us isolate theRclassical T1 and T2 inequalities.
For p = 1 or p = 2, one says that µ ∈ Pp := {ν ∈ P(X ); d(xo , ·)p dν < ∞} satisfies the
inequality Tp (C), with C > 0 if
(Tp (C)) Wp2 (ν, µ) ≤ CH(ν|µ),
for all ν ∈ P(X ).
Remark 1.2. Note that this inequality implies that µ is such that H(ν|µ) = ∞ whenever
ν 6∈ Pp .
 TRANSPORT INEQUALITIES 5

With the previous notation, T1 (C) stands for the inequality C −1 Td2 ≤ H and T2 (C) for
the inequality C −1 Td2 ≤ H. Applying Jensen inequality, we get immediately that
(2) Td2 (ν, µ) ≤ Td2 (ν, µ).
As a consequence, for a given metric d on X , the inequality T1 is always weaker than the
inequality T2 .
We now present two important examples of transport-entropy inequalities: the Csiszár-
Kullback-Pinsker inequality, which is a T1 inequality and Talagrand’s T2 inequality for the
Gaussian measure.

Csiszár-Kullback-Pinsker inequality. The total variation distance between two proba-

bility measures ν and µ on X is defined by
kν − µkT V = sup |ν(A) − µ(A)|,
where the supremum runs over all measurable A ⊂ X . It appears that the total variation
distance is an optimal transport-cost. Namely, consider the so-called Hamming metric
dH (x, y) = 1x6=y , x, y ∈ X ,
which assigns the value 1 if x is different from y and the value 0 otherwise. Then we have
the following result whose proof can be found in e.g [81, Lemma 2.20].
Proposition 1.3. For all ν, µ ∈ P(X ), TdH (ν, µ) = kν − µkT V .

The following theorem gives the celebrated Csiszár-Kullback-Pinsker inequality (see [90,
32, 64]).
Theorem 1.4. The inequality
1
kν − µk2T V ≤ H(ν|µ),
2
holds for all probability measures µ, ν on X .

In other words, any probability µ on X enjoy the inequality T1 (1/2) with respect to the
Hamming distance dH on X .

Proof. The following proof is taken from [104, Remark 22.12] and is attributed to Talagrand.
dν
Suppose that H(ν|µ) < +∞ (otherwise there is nothing to prove) and let f = dµ and
R
u = f − 1. By definition and since u dµ = 0,
Z Z
H(ν|µ) = f log f dµ = (1 + u) log(1 + u) − u dµ.
X X
1
The function ϕ(t) = (1 + t) log(1 + t) − t, verifies ϕ′ (t) = log(1 + t) and ϕ′′ (t) = 1+t , t > −1.
So, using a Taylor expansion,
Z t Z 1
′′ 2 1−s
ϕ(t) = (t − x)ϕ (x) dx = t ds, t > −1.
0 0 1 + st
So, Z
u2 (x)(1 − s)
H(ν|µ) = ds dµ(x).
X ×[0,1] 1 + su(x)
6 NATHAEL GOZLAN, CHRISTIAN LÉONARD

According to Cauchy-Schwarz inequality,

Z 2
|u|(x)(1 − s) dµ(x)ds
X ×[0,1]
Z Z
u(x)2 (1 − s)
≤ dµ(x)ds · (1 − s)(1 + su(x)) dµ(x)ds
X ×[0,1] 1 + su(x) X ×[0,1]
H(ν|µ)
= .
2
1
R
Since kν − µkT V = 2 |1 − f | dµ, the left-hand side equals kν − µk2T V and this completes the
proof. 

Talagrand’s transport inequality for the Gaussian measure. In [102], Talagrand

proved the following transport inequality T2 for the standard Gaussian measure γ on R
equipped with the standard distance d(x, y) = |x − y|.
Theorem 1.5. The standard Gaussian measure γ on R verifies
(3) W22 (ν, γ) ≤ 2H(ν|γ),
for all ν ∈ P(R).

This inequality is sharp. Indeed, taking ν to be a translation of γ, that is a normal law

with unit variance, we easily check that equality holds true.
The following notation will appear frequently in the sequel: if T : X → X is a measurable
map, and µ is a probability measure on X , the image of µ under T is the probability measure
denoted by T# µ and defined by


(4) T# µ(A) = µ T −1 (A) ,
for all Borel set A ⊂ X .

Proof. In the following lines, we present the short and elegant proof of (3), as it appeared in
[102]. Let us consider a reference measure
dµ(x) = e−V (x) dx.
We shall specify later to the Gaussian case, where the potential V is given by V (x) =
x2 /2 + log(2π)/2, x ∈ R. Let ν be another probability measure on R. It is known since
Fréchet that any measurable map y = T (x) which verifies the equation
(5) ν((−∞, T (x)]) = µ((−∞, x]), x∈R
is a coupling of ν and µ, i.e. such that ν = T# µ, which minimizes the average squared
distance (or equivalently: which maximizes the correlation), see (23) below for a proof of
this statement. Such a transport map is called a monotone rearrangement. Clearly T is
increasing, and assuming from now on that ν = f µ is absolutely continuous with respect to
µ, one sees that T is Lebesgue almost everywhere differentiable with T ′ > 0. Equation (5)
R T (x) Rx
becomes for all real x, −∞ f (z)e−V (z) dz = −∞ e−V (z) dz. Differentiating, one obtains

(6) T ′ (x)f (T (x))e−V (T (x)) = e−V (x) , x ∈ R.

 TRANSPORT INEQUALITIES 7
R R
The relative entropy writes: H(ν|µ) = log(f ) dν = log(f (T (x)) dµ since ν = T# µ. Ex-
tracting f (T (x)) from (6) and plugging it into this identity, we obtain
Z
H(ν|µ) = [V (T (x)) − V (x) − log T ′ (x)] e−V (x) dx.
R R
On the other hand, we have (T (x) − x)V ′ (x)e−V (x) dx = (T ′ (x) − 1)e−V (x) dx as a result
of an integration by parts. Therefore,
Z  
H(ν|µ) = V (T (x)) − V (x) − V ′ (x)[T (x) − x] dµ(x)
Z
(7) + (T ′ (x) − 1 − log T ′ (x)) dµ(x).
Z  
≥ V (T (x)) − V (x) − V ′ (x)[T (x) − x] dµ(x)

where we took advantage of b − 1 − log b ≥ 0 for all b > 0, at the last inequality. Of course,
the last integral is nonnegative if V is assumed to be convex.
Considering the Gaussian potential V (x) = x2 /2 + log(2π)/2, x ∈ R, we have shown that
Z
H(ν|γ) ≥ (T (x) − x)2 /2 dγ(x) ≥ W22 (ν, γ)/2
R
for all ν ∈ P(R), which is (3). 

Concentration of measure. If d is a metric on X , for any r ≥ 0, one defines the r-

neighborhood of the set A ⊂ X by
Ar := {x ∈ X ; d(x, A) ≤ r}, r ≥ 0,
where d(x, A) := inf y∈A d(x, y) is the distance of x from A.
Let β : [0, ∞) → R+ such that β(r) → 0 when r → ∞; it is said that the probability
measure µ verifies the concentration inequality with profile β if
µ(Ar ) ≥ 1 − β(r), r ≥ 0,
for all measurable A ⊂ X , with µ(A) ≥ 1/2.
According to the following classical proposition, the concentration of measure (with respect
to metric enlargement) can be alternatively described in terms of deviations of Lipschitz
functions from their median.
Proposition 1.6. Let (X , d) be a metric space, µ ∈ P(X ) and β : [0, ∞) → [0, 1]; the
following propositions are equivalent
(1) The probability µ verifies the concentration inequality
µ(Ar ) ≥ 1 − β(r), r ≥ 0,
for all A ⊂ X , with µ(A) ≥ 1/2.
(2) For all 1-Lipschitz function f : X → R,
µ(f > mf + r) ≤ β(r), r ≥ 0,
where mf denotes a median of f .
8 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Proof. (1) ⇒ (2). Let f be a 1-Lipschitz function and define A = {f ≤ mf }. Then it is easy to
check that Ar ⊂ {f ≤ mf +r}. Since µ(A) ≥ 1/2, one has µ(f ≤ mf +r) ≥ µ(Ar ) ≥ 1−β(r),
for all r ≥ 0.
(2) ⇒ (1). For all A ⊂ X , the function fA : x 7→ d(x, A) is 1-Lipschitz. If µ(A) ≥ 1/2,
then 0 is a median of fA . Since Ar = {fA ≤ r}, one has µ(Ar ) ≥ 1 − µ{fA > r} ≥ 1 − β(r),
r ≥ 0. 

Applying the deviation inequality to ±f , we arrive at

µ(|f − mf | < r) ≤ 2β(r), r ≥ 0.
In other words, Lipschitz functions are, with a high probability, concentrated around their
median, when the concentration profile β decreases rapidly to zero. In the above proposition,
the median can be replaced by the mean µ(f ) of f (see e.g. [68]):
(8) µ(f > µ(f ) + r) ≤ β(r), r ≥ 0.

The following theorem explains how to derive concentration inequalities (with profiles
decreasing exponentially fast) from transport-entropy inequalities of the form α (Td ) ≤ H,
where the cost function c is the metric d. The argument used in the proof is due to Marton
[76] and is referred as “Marton’s argument” in the literature.
Theorem 1.7. Let α : R+ → R+ be a bijection and suppose that µ ∈ P(X ) verifies the
transport-entropy inequality α (Td ) ≤ H. Then, for all measurable A ⊂ X with µ(A) ≥ 1/2,
the following concentration inequality holds
µ(Ar ) ≥ 1 − e−α(r−ro ) , r ≥ ro := α−1 (log 2),
where Ar is the enlargement of A for the metric d which is defined above.
Equivalently, for all 1-Lipschitz f : X → R, the following inequality holds
µ(f > mf + r + ro ) ≤ e−α(r) , r ≥ 0.

Proof. Take A ⊂ X , with µ(A) ≥ 1/2 and set B = X \ Ar . Consider the probability
1 1
measures dµA (x) = µ(A) 1A (x) dµ(x) and dµB (x) = µ(B) 1B (x) dµ(x). Obviously, if x ∈ A
and
R y ∈ B, then d(x, y) ≥ r. Consequently, if π is a coupling between µA and µB , then
d(x, y) dπ(x, y) ≥ r and so Td (µA , µB ) ≥ r. Now, using the triangle inequality and the
transport-entropy inequality we get
r ≤ Td (µA , µB ) ≤ Td (µA , µ) + Td (µB , µ) ≤ α−1 (H(µA |µ)) + α−1 (H(µB |µ)) .
It is easy to check that H(µA |µ) = − log µ(A) ≤ log 2 and H(µB |µ) = − log(1 − µ(Ar )). It
follows immediately that µ(Ar ) ≥ 1 − e−α(r−ro ) , for all r ≥ ro := α−1 (log 2). 

If µ verifies T2 (C), by (2) it also verifies T1 (C) and one can apply Theorem 1.7. Therefore,
it appears that if µ verifies T1 (C) or T2 (C), then it concentrates like a Gaussian measure:
2 p
µ(Ar ) ≥ 1 − e−(r−ro ) /C , r ≥ ro = C log(2).
At this stage, the difference between T1 and T2 is invisible. It will appear clearly in the next
paragraph devoted to tensorization of transport-entropy inequalities.
 TRANSPORT INEQUALITIES 9

Tensorization. A central question in the field of concentration of measure is to obtain

concentration estimates not only for µ but for the entire family {µn ; n ≥ 1} where µn denotes
the product probability measure µ ⊗ · · · ⊗ µ on X n . To exploit transport-entropy inequalities,
one has to know how they tensorize. This will be investigated in details in Section 4. Let us
give in this introductory section, an insight on this important question.
It is enough to understand what happens with the product X1 × X2 of two spaces. Indeed,
it will be clear in a moment that the extension to the product of n spaces will follow by
induction.

Let µ1 , µ2 be two probability measures on two polish spaces X1 , X2 , respectively. Consider

two cost functions c1 (x1 , y1 ) and c2 (x2 , y2 ) defined on X1 × X1 and X2 × X2 ; they give rise to
the optimal transport cost functions Tc1 (ν1 , µ1 ), ν1 ∈ P(X1 ) and Tc2 (ν2 , µ2 ), ν2 ∈ P(X2 ).
On the product space X1 × X2 , we now consider the product measure µ1 ⊗ µ2 and the cost
function


c1 ⊕ c2 (x1 , y1 ), (x2 , y2 ) := c1 (x1 , y1 ) + c2 (x2 , y2 ), x1 , y1 ∈ X1 , x2 , y2 ∈ X2
which give rise to the tensorized optimal transport cost function
Tc1⊕c2 (ν, µ1 ⊗ µ2 ), ν ∈ P(X1 × X2 ).
A fundamental example is X1 = X2 = Rk
with c1 (x, y) = c2 (x, y) = |y − x|22 : the Euclidean
metric on R tensorizes as the squared Euclidean metric on R2k .
k

For any probability measure ν on the product space X1 × X2 , let us write the disintegration
of ν (conditional expectation) with respect to the first coordinate as follows:
(9) dν(x1 , x2 ) = dν1 (x1 )dν2x1 (x2 ).
As was suggested by Marton [77] and Talagrand [102], it is possible to prove the intuitively
clear following assertion:
Z
(10) Tc1 ⊕c2 (ν, µ1 ⊗ µ2 ) ≤ Tc1 (ν1 , µ1 ) + Tc2 (ν2x1 , µ2 ) dν1 (x1 ).
X1
We give a detailed proof of this claim at the Appendix, Proposition A.1.
On the other hand, it is well-known that the fundamental property of the logarithm together
with the product form of the disintegration formula (9) yield the analogous tensorization
property of the relative entropy:
Z
(11) H(ν|µ1 ⊗ µ2 ) = H(ν1 |µ1 ) + H(ν2x1 |µ2 ) dν1 (x1 ).
X1
Recall that the inf-convolution of two functions α1 and α2 on [0, ∞) is defined by
α1 α2 (t) := inf{α1 (t1 ) + α2 (t2 ); t1 , t2 ≥ 0 : t1 + t2 = t}, t ≥ 0.
Proposition 1.8. Suppose that the transport-entropy inequalities
α1 (Tc1 (ν1 , µ1 )) ≤ H(ν1 |µ1 ), ν1 ∈ P(X1 )
α2 (Tc2 (ν2 , µ2 )) ≤ H(ν2 |µ2 ), ν2 ∈ P(X2 )
hold with α1 , α2 : [0, ∞) → [0, ∞) convex increasing functions. Then, on the product space
X1 × X2 , we have

α1 α2 Tc1 ⊕c2 (ν, µ1 ⊗ µ2 ) ≤ H(ν|µ1 ⊗ µ2 ),
10 NATHAEL GOZLAN, CHRISTIAN LÉONARD

for all ν ∈ P(X1 × X2 ).

Proof. For all ν ∈ P(X1 × X2 ),

(a)
 Z 
α1 α2 (Tc1 ⊕c2 (ν, µ1 ⊗ µ2 )) ≤ α1 α2 Tc1 (ν1 , µ1 ) + Tc2 (ν2x1 µ2 ) dν1 (x1 )
X1
(b)
Z 
≤ α1 (Tc1 (ν1 , µ1 )) + α2 Tc2 (ν2x1 , µ2 ) dν1 (x1 )
X1
Z
(c)

≤ α1 (Tc1 (ν1 , µ1 )) + α2 Tc2 (ν2x1 , µ2 ) dν1 (x1 )
X1
(d)
Z
≤ H(ν1 |µ1 ) + H(ν2x1 |µ2 ) dν1 (x1 )
X1
= H(ν|µ1 ⊗ µ2 ).

Inequality (a) is verified thanks to (10) since α1 α2 is increasing, (b) follows from the very
definition of the inf-convolution, (c) follows from Jensen inequality since α2 is convex, (d)
follows from the assumed transport-entropy inequalities and the last equality is (11). 

Obviously, it follows by an induction argument on the dimension n that, if µ verifies

α(Tc ) ≤ H, then µn verifies αn (Tc⊕n ) ≤ H where as a definition
  n
X
⊕n
c (x1 , y1 ), . . . , (xn , yn ) := c(xi , yi ).
i=1

Since αn (t) = nα(t/n) for all t ≥ 0, we have proved the next proposition.
Proposition 1.9. Suppose that µ ∈ P(X ) verifies the transport-entropy inequality α(Tc ) ≤ H
with α : [0, ∞) → [0, ∞) a convex increasing function. Then, µn ∈ P(X n ) verifies the
transport-entropy inequality
 
Tc⊕n (ν, µn )
nα ≤ H(ν|µn ),
n
for all ν ∈ P(X n ).

We also give at the end of Section 3 an alternative proof of this result which is based
on a duality argument. The general statements of Propositions 1.8 and 1.9 appeared in the
authors’ paper [53].
In particular, when α is linear, one observes that the inequality α(Tc ) ≤ H tensorizes
independently of the dimension. This is for example the case for the inequality T2 . So,
using the one dimensional T2 verified by the standard Gaussian measure γ together with
the above tensorization property, we conclude that for all positive integer n, the standard
Gaussian measure γ n on Rn verifies the inequality T2 (2).
Now let us compare the concentration properties of product measures derived from T1 or
T2 . Let d be a metric on X , and let us consider the ℓ1 and ℓ2 product metrics associated to
 TRANSPORT INEQUALITIES 11

the metric d:
n n
!1/2
X X
2
d1 (x, y) = d(xi , yi ) and d2 (x, y) = d (xi , yi ) , x, y ∈ X n .
i=1 i=1

The distance d1 and d2 are related by the following obvious inequality

1
√ d1 (x, y) ≤ d2 (x, y) ≤ d1 (x, y), x, y ∈ X n .
n

If µ verifies T1 on X , then according to Proposition 1.9, µn verifies the inequality T1 (nC)

on the space X n equipped with the metric d1 . It follows from Marton’s concentration Theo-
rem 1.7, that
r2 p
(12) µn (f > mf + r + ro ) ≤ e− nC , r ≥ ro = nC log(2),
for all function f which is 1-Lipschitz with respect to d1 . So the constants appearing in the
concentration inequality are getting worse and worse when the dimension increases.
On the other hand, if µ verifies T2 (C), then according to Proposition 1.9, µn verifies the
inequality T2 (C) on the space X n equipped with d2 . Thanks to Jensen inequality µn also
verifies the inequality T1 (C) on (X n , d2 ), and so
r2 p
(13) µn (g > mg + r + ro ) ≤ e− C , r ≥ ro = C log(2),
for all function g which is 1-Lipschitz with respect to d2 . This time, one observes that
the concentration profile does not depend on the dimension n. This phenomenon is called
(Gaussian) dimension-free concentration of measure. For instance, if µ = γ is the standard
Gaussian measure, we thus obtain
2 p
(14) γ n (f > mf + r + ro ) ≥ 1 − e−r /2 , r ≥ ro := 2 log 2
for all function f which is 1-Lipschitz for the Euclidean distance on Rn . This result is very
near the optimal concentration profile obtained by an isoperimetric method, see [68]. In
fact the Gaussian dimension-free property (13) is intrinsically related to the inequality T2 .
Indeed, a recent result of Gozlan [52] presented in Section 5 shows that Gaussian dimension
concentration holds if and only if the reference measure µ verifies T2 (see Theorem 5.4 and
Corollary 5.5).
√
Since a 1-Lipschitz function√f for d1 is n-Lipschitz for d2 , it is clear that (13) gives back
(12), when applied to g = f / n. On the other hand, a 1-Lipschitz function g for d2 is also
1-Lipschitz for d1 , and its is clear that for such a function g the inequality (13) is much
better than (12) applied to f = g. So, we see from this considerations that T2 is a much
stronger property than T1 . We refer to [68] or [99, 101], for examples of applications where
the independence on n in concentration inequalities plays a decisive role.
Nevertheless, dependence on n in concentration is not always something to fight against,
as shown in the following example of deviation inequalities. Indeed, suppose that µ verifies
the inequality α (Td ) ≤ H, then for all positive integer n,
 Z 
n
µ f ≥ f dµ + t ≤ e−nα(t/n) , t ≥ 0,
n
12 NATHAEL GOZLAN, CHRISTIAN LÉONARD

for all f 1-Lipschitz for d1 (see Corollary 5.3). In particular, choose f (x) = u(x1 )+· · ·+u(xn ),
with u a 1-Lipschitz function for d; then f is 1-Lipschitz for d1 , and so if Xi is an i.i.d sequence
of law µ, we easily arrive at the following deviation inequality
n
!
1X
P u(Xi ) ≥ E[u(X1 )] + t ≤ e−nα(t) , t ≥ 0.
n
i=1

This inequality presents the right dependence on n. Namely, according to Cramér theorem
∗
(see [35]) this probability behaves like e−nΛu (t) when n is large, where Λ∗u is the Cramér
transform of u(X1 ). The reader can look at [53] for more information on this subject. Let
us mention that this family of deviation inequalities characterize the inequality α(Td ) ≤ H
(see Theorem 5.2 and Corollary 5.3).

2. Optimal transport

Optimal transport is an active field of research. The recent textbooks by Villani [103,
104] make a very good account on the subject. Here, we recall basic results which will be
necessary to understand transport inequalities. But the interplay between optimal transport
and functional inequalities in general is wider than what will be exposed below, see [103, 104]
for instance.
Let us make our underlying assumptions precise. The cost function c is assumed to be a
lower semicontinuous [0, ∞)-valued function on the product X 2 of the polish space X . The
Monge-Kantorovich problem with cost function c and marginals ν, µ in P(X ), as well as its
optimal value Tc (ν, µ) were stated at (MK) and (1) in Section 1.
Proposition 2.1. The Monge-Kantorovich problem (MK) admits a solution if and only if
Tc (ν, µ) < ∞.

Outline of the proof. The main ingredients of the proof of this proposition are
• the compactness with respect to the narrow topology of {π ∈ P(X 2 ); π0 = ν, π1 = µ}
which is inherited from the tightness
R of ν and µ and
• the lower semicontinuity of π 7→ X 2 c dπ which is inherited from the lower semicon-
tinuity of c.
The polish assumption on X is invoked at the first item. 

The minimizers of (MK) are called optimal transport plans, they are not unique in general
since (MK) is not a strictly convex problem: it is an infinite dimensional linear programming
problem.
If d is a lower semicontinuous metric on X (possibly different from the metric which turns
X into a polish space), one can consider the cost function c = dp with p ≥ 1. One can
prove that Wp (ν, µ) := Tdp (ν, µ)1/p defines a metric on the set Pdp (X ) (or Pp for short) of
all probability measures which integrate dp (xo , · ): it is the so-called Wasserstein metric of
order p. Since Tdp (ν, µ) < ∞ for all ν, µ in Pp , Proposition 2.1 tells us that the corresponding
problem (MK) is attained in Pp .
 TRANSPORT INEQUALITIES 13

Kantorovich dual equality. In the perspective of transport inequalities, the keystone is

the following result. Let Cb (X ) be the space of all continuous bounded functions on X and
denote u ⊕ v(x, y) = u(x) + v(y), x, y ∈ X .
Theorem 2.2 (Kantorovich dual equality). For all µ and ν in P(X ), we have
Z Z 
(15) Tc (ν, µ) = sup u(x) dν(x) + v(y) dµ(y); u, v ∈ Cb (X ), u ⊕ v ≤ c
ZX Z
X

1 1
(16) = sup u(x) dν(x) + v(y) dµ(y); u ∈ L (ν), v ∈ L (µ), u ⊕ v ≤ c .
X X

R for all πR such that π0R= ν, π1 = µ and (u, v) such that u ⊕ v ≤ c, we have
R Note that
X u dν + X v dµ = X 2 u ⊕ v dπ ≤ X 2 c dπ. Optimizing both sides of this inequality leads
us to
Z Z 
1 1
sup u dν + v dµ; u ∈ L (ν), v ∈ L (µ), u ⊕ v ≤ c
X X
(17) Z 
2
≤ inf c dπ; π ∈ P(X ); π0 = ν, π1 = µ
X2

and Theorem 2.2 appears to be a no dual gap result.

The following is a sketch of proof which is borrowed from Léonard’s paper [72].

Outline of the proof of Theorem 2.2. For a detailed proof,see [72, Thm 2.1]. Denote M(X 2 )
0 if x ∈ A
the space of all signed measures on X 2 and ι{x∈A} = . Consider the
+∞ otherwise
(−∞, +∞]-valued function
Z Z Z Z
K(π, (u, v)) = u dν + v dµ− u⊕v dπ + c dπ +ι{π≥0} , π ∈ M(X 2 ), u, v ∈ Cb (X ).
X X X2 X2

For each fixed (u, v), it is a convex function of π and for each fixed π, it is a concave function
of (u, v). In other words, K is a convex-concave function and one can expect that it admits
a saddle value, i.e.
(18) inf sup K(π, (u, v)) = sup inf K(π, (u, v)).
π∈M(X 2 ) u,v∈Cb (X ) 2
u,v∈Cb (X ) π∈M(X )

The detailed proof amounts to check that standard assumptions for this min-max result hold
true for (u, v) as in (15). We are going to show that (18) is the desired equality (15). Indeed,
for fixed π,
Z Z Z Z 
sup K(π, (u, v)) = c dπ + ι{π≥0} + sup u dν + v dµ − u ⊕ v dπ
(u,v) X2 (u,v) X X X2
Z Z Z 
= c dπ + ι{π≥0} + sup u d(ν − π0 ) + v d(µ − π1 )
X2 (u,v) X X
Z
= c dπ + ι{π0 =ν,π1 =µ}
X2
14 NATHAEL GOZLAN, CHRISTIAN LÉONARD

and for fixed (u, v),

Z Z Z Z Z
inf K(π, (u, v)) = u dν + v dµ + inf (c − u ⊕ v) dπ = u dν + v dµ − ι{u⊕v≤c} .
π X X π≥0 X 2 X X

Once (15) is obtained, (16) follows immediately from (17) and the following obvious inequal-
ity: sup ≤ sup . 
u,v∈Cb (X ),u⊕v≤c u∈L1 (ν),v∈L1 (µ),u⊕v≤c

Let u and v be measurable functions on X such that u ⊕ v ≤ c. The family of inequalities

v(y) ≤ c(x, y)−u(x), for all x, y is equivalent to v(y) ≤ inf x {c(x, y)−u(x)} for all y. Therefore,
the function
uc (y) := inf {c(x, y) − u(x)}, y ∈ X
x∈X
c c
R R
satisfies u ≥ v and u ⊕ u ≤ c. As J(u, v) := X u dν + X v dµ is an increasing function of its
arguments u and v, in view of maximizing J on the set {(u, v) ∈ L1 (ν) × L1 (µ) : u ⊕ v ≤ c},
the couple (u, uc ) is better than (u, v). Performing this trick once again, we see that with
v c (x) := inf y∈X {c(x, y) − v(y)}, x ∈ X , the couple (ucc , uc ) is better than (u, uc ) and (u, v).
We have obtained the following result.
Lemma 2.3. Let u and v be functions on X such that u(x) + v(y) ≤ c(x, y) for all x, y.
Then, uc and ucc also satisfy ucc ≥ u, uc ≥ v and ucc (x) + uc (y) ≤ c(x, y) for all x, y.

Iterating the trick of Lemma 2.3 doesn’t improve anything.

Remark 2.4. (Measurability of uc ). This issue is often neglected in the literature. The aim
of this remark is to indicate a general result which solves this difficult problem. If c is
continuous, uc and ucc are upper semicontinuous, and therefore they are Borel measurable.
In the general case where c is lower semicontinuous, it can be shown that some measurable
version of uc exists. More precisely, Beiglböck and Schachermayer have proved recently in [12,
Lemmas 3.7, 3.8] that, even if c is only supposed to be Borel measurable, for each probability
measure µ ∈ P(X ), there exists a [−∞, ∞)-valued Borel measurable function ũc such that
ũc ≤ uc everywhere and ũc = uc , µ-almost
R everywhere. This is precisely what is needed for
the purpose of defining the integral uc dµ.

Recall that whenever A and B are two vector spaces linked by the duality bracket ha, bi,
the convex conjugate of the function f : A → (−∞, ∞] is defined by
f ∗ (b) := sup{ha, bi − f (a)} ∈ (−∞, ∞], b ∈ B.
a∈A

Clearly, the definition of uc is reminiscent of that of f ∗ . Indeed, with the quadratic cost
2 2
function c2 (x, y) = |y − x|2 /2 = |x|2 + |y|2 − x·y on Rk , one obtains
 ∗
| · |2 c2 | · |2
(19) −u = −u .
2 2
It is worth recalling basic facts about convex conjugates for we shall use them several times
later. Being the supremum of a family of affine continuous functions, f ∗ is convex and
σ(B, A)-lower semicontinuous. Defining f ∗∗ (a) = supb∈B {ha, bi − f ∗ (b)} ∈ (−∞, ∞], a ∈ A,
 TRANSPORT INEQUALITIES 15

one knows that f ∗∗ = f if and only if f is a lower semicontinuous convex function. It is a

trivial remark that

(20) ha, bi ≤ f (a) + f ∗ (b), (a, b) ∈ A × B.

The case of equality (Fenchel’s identity) is of special interest, we have

(21) ha, bi = f (a) + f ∗ (b) ⇔ b ∈ ∂f (a) ⇔ a ∈ ∂f ∗ (b)

whenever f is convex and σ(A, B)-lower semicontinuous. Here, ∂f (a) := {b ∈ B; f (a + h) ≥

f (a) + hh, bi, ∀h ∈ A} stands for the subdifferential of f at a.

Metric cost. The cost function to be considered is c(x, y) = d(x, y): a lower semicontinuous
metric on X which might be different from the original polish metric on X .

Remark 2.5. In the sequel, the Lipschitz functions are to be considered with respect to the
metric cost d and not with respect to the underlying metric on the polish space X which
is here to generate the Borel σ-field, specify the continuous, lower semicontinuous or Borel
functions. Indeed, we have in mind to work sometimes with trivial metric costs (weighted
Hamming’s metrics) which are lower semicontinuous with respect to any reasonable non-
trivial metric but generate a too rich Borel σ-field. As a consequence a d-Lipschitz function
might not be Borel measurable.

One writes that u is d-Lipschitz(1)

R to specify that |u(x) − u(y)| ≤ d(x, y) for all x, y ∈ X .
Denote P1 := {ν ∈ P(X ); X d(xo , x) dν(x)} where xo is any fixed element in X . With the
triangle inequality, one sees that P1 doesn’t depend on the choice of xo .
Let us denote the Lipschitz seminorm kukLip := supx6=y |u(y)−u(x)|
d(x,y) . Its dual norm is for all
∗
R
µ, ν in P1 , kν −µkLip = sup X u(x) [ν − µ](dx); u measurable, kukLip ≤ 1 . As it is assumed
that µ, ν ∈ P1 , note that any measurable d-Lipschitz function is integrable with respect to µ
and ν.

Theorem 2.6 (Kantorovich-Rubinstein). For all µ, ν ∈ P1 , W1 (ν, µ) = kν − µk∗Lip .

Proof.
R For all measurable
R d-Lipschitz(1) function Ru and all π such that π0 = ν and π1 = µ,
X u(x) [ν − µ](dx) = X2 (u(x) − u(y)) dπ(x, y) ≤ X 2 d(x, y) dπ(x, y). Optimizing in u and π
∗
one obtains kν − µkLip ≤ W1 (ν, µ).
Let us look at the reverse inequality.
Claim. For any function u on X , (i) ud is d-Lipschitz(1) and (ii) udd = −ud .
Let us prove (i). Since y 7→ d(x, y) is d-Lipschitz(1), y 7→ ud (y) = inf x {d(x, y) − u(x)} is also
d-Lipschitz(1) as an infinum of d-Lipschitz(1) functions.
Let us prove (ii). Hence for all x, y, ud (y) − ud (x) ≤ d(x, y). But this implies that for all
y, −ud (x) ≤ d(x, y) − ud (y). Optimizing in y leads to −ud (x) ≤ udd (x). On the other hand,
udd (x) = inf y {d(x, y) − ud (y)} ≤ −ud (x) where the last inequality is obtained by taking
y = x.
16 NATHAEL GOZLAN, CHRISTIAN LÉONARD

With Theorem 2.2, Lemma 2.3 and the above claim, we obtain that
Z Z  Z Z 
dd d
W1 (ν, µ) = sup u dν + v dµ = sup u dν + u dµ
(u,v) X X u X X
Z 
≤ sup u d[ν − µ]; u : kukLip ≤ 1 = kν − µk∗Lip .
X

which completes the proof of the theorem. 

For interesting consequences in probability theory, one can look at Dudley’s textbook [41,
Chp. 11].

Optimal plans. What about the optimal plans? If one applies formally the Karush-Kuhn-
Tucker characterization of the saddle point of the Lagrangian function K in the proof of
Theorem 2.2, one obtains that π̂ is an optimal transport plan if and only if 0 ∈ ∂π K(π̂, (û, v̂))
for some couple of functions (û, v̂) such that 0 ∈ ∂b(u,v) K(π̂, (û, v̂)) where ∂π K stands for the
subdifferential of the convex function π 7→ K(π, (û, v̂)) and ∂b(u,v) K for the superdifferential
of the concave function (u, v) 7→ K(π̂, (u, v)). This gives us the system of equations

û ⊕ v̂ − c ∈ ∂(ιM+ )(π̂)
(π̂0 , π̂1 ) = (ν, µ)
where M+ is the cone of all positive measures on X 2 . Such a couple (û, v̂) is called a dual
optimizer. The second equation expresses the marginal constraints of (MK) while by (21)
one can recast the first one as the Fenchel identity hû ⊕ v̂ − c, π̂i = ι∗M+ (û ⊕ v̂ − c) + ιM+ (π̂).
Since for any function h, ι∗M+ (h) = supπ∈M+ hh, πi = ι{h≤0} , one sees that hû ⊕ v̂ − c, π̂i = 0
with û ⊕ v̂ − c ≤ 0 and π̂ ≥ 0 which is equivalent to π̂ ≥ 0, û ⊕ v̂ ≤ c everywhere and
û ⊕ v̂ = c, π̂-almost everywhere. As π̂0 = ν has a unit mass, so has the positive measure π̂ :
it is a probability measure. These formal considerations should prepare the reader to trust
the subsequent rigorous statement.
Theorem 2.7. Assume that Tc (ν, µ) < ∞. Any π ∈ P(X 2 ) with the prescribed marginals
π0 = ν and π1 = µ is an optimal plan if and only if there exist two measurable functions
u, v : X → [−∞, ∞) such that

u ⊕ v ≤ c, everywhere
u ⊕ v = c, π-almost everywhere.

This theorem can be found in [104, Thm. 5.10] with a proof which has almost nothing in
common with the saddle-point strategy that has been described above.
An important instance of this result is the special case of the quadratic cost.
Corollary 2.8. Let us consider the quadratic cost c2 (x, y) = |y − x|2 /2 on X = Rk and take
two probability measures ν and µ in P2 (X ).
(a) There exists an optimal transport plan.
(b) Any π ∈ P(X 2 ) is optimal if and only if there exists a convex lower semicontinuous
function φ : X → (−∞, ∞] such that the Fenchel identity φ(x) + φ∗ (y) = x·y holds true
π-almost everywhere.
 TRANSPORT INEQUALITIES 17

Proof. Proof of (a). Since |y − x|R2 /2 ≤ |x|2 R+ |y|2 and ν, µR ∈ P2 , any π ∈ P(X 2 ) such
that π0 = ν and π1 = µ satisfies X 2 c dπ ≤ X |x|2 dν(x) + X |y|2 dµ(y) < ∞. Therefore
T (ν, µ) = W22 (ν, µ) < ∞, and one concludes with Proposition 2.1.
Proof of (b). In view of Lemma 2.3, one sees that an optimal dual optimizer is necessarily
of the form (ucc , uc ). Theorem 2.7 tells us that π is optimal if and only there exists some
function u such that ucc ⊕ uc = c, π-almost everywhere. With (19), by considering the
functions φ(x) = |x|2 /2 − uc2 c2 (x) and ψ(y) = |y|2 /2 − uc2 (y), one also obtains φ = ψ ∗ and
ψ = φ∗ , which means that φ and ψ are convex conjugate to each other and in particular that
φ is convex and lower semicontinuous. 

By (21), another equivalent statement for the Fenchel identity φ(x) + φ∗ (y) = x·y is
(22) y ∈ ∂φ(x).
In the special case of the real line X = R, a popular coupling of ν and µ = T# ν is given by
the so-called monotone rearrangement. It is defined by
(23) y = T (x) := Fµ−1 ◦ Fν (x), x ∈ R,
where Fν (x) = ν((−∞, x]), Fµ (y) = µ((−∞, y]) are the distribution functions of ν and µ, and
Fµ−1 (u) = inf{y ∈ R; Fµ (y) > u}, u ∈ [0, 1] is the generalized inverse of Fµ . When X = R,
the identity (22) simply states that (x, y) belongs to the graph of an increasing function. Of
course, this is the case of (23). Hence Corollary 2.8 tells us that the monotone rearrangement
is an optimal transport map for the quadratic cost.
Let us go back to X = Rk . If φ is Gâteaux differentiable at x, then ∂φ(x) is restricted
to a single element: the gradient ∇φ(x), and (22) simply becomes y = ∇φ(x). Hence, if φ
were differentiable everywhere, condition (b) of Corollary 2.8 would be y = ∇φ(x), π-almost
everywhere. But this is too much demanding. Nevertheless, Rademacher’s theorem states
that a convex function on Rk is differentiable Lebesgue almost everywhere on its effective
domain. This allows to derive the following improvement.
Theorem 2.9 (Quadratic cost on X = Rk ). Let us consider the quadratic cost c2 (x, y) =
|y−x|2 /2 on X = Rk and take two probability measures ν and µ in P2 (X ) which are absolutely
continuous. Then, there exists a unique optimal plan. Moreover, π ∈ P(X 2 ) is optimal if
and only if π0 = ν, π1 = µ and there exists a convex function φ such that

y = ∇φ(x)
, π-almost everywhere.
x = ∇φ∗ (y)

Proof. It follows from Rademacher’s theorem that, if ν is an absolutely continuous measure,

φ is differentiable ν-almost everywhere. This and Corollary 2.8 prove the statement about
the characterization of the optimal plans. Note that the quadratic transport is symmetric
with respect to x an y, so that one obtains the same conclusion if µ is absolutely continuous;
namely x = ∇φ∗ (y), π-almost everywhere, see (21).
We have just proved that, under our assumptions, an optimal plan is concentrated on a
functional graph. The uniqueness of the optimal plan follows directly from this. Indeed, if
one has two optimal plans π 0 and π 1 , by convexity their half sum π 1/2 is still optimal. But
for π 1/2 to be concentrated on a functional graph, it is necessary that π 0 and π 1 share the
same graph. 
18 NATHAEL GOZLAN, CHRISTIAN LÉONARD

For more details, one can have a look at [103, Thm. 2.12]. The existence result has been
obtained by Knott and Smith [63], while the uniqueness is due to Brenier [23] and McCann
[84]. The application y = ∇φ(x) is often called the Brenier map pushing forward ν to µ.

3. Dual equalities and inequalities

In this section, we present Bobkov and Götze dual approach to transport-entropy inequal-
ities [17]. More precisely, we are going to take advantage of variational formulas for the
optimal transport cost and for the relative entropy to give another formulation of transport-
entropy inequalities. The relevant variational formula for the transport cost is given by the
Kantorovich dual equality at Theorem 2.2

Z Z 
(24) Tc (ν, µ) = sup u dν + v dµ; u, v ∈ Cb (X ), u ⊕ v ≤ c .

On the other hand, the relative entropy admits the following variational representations.
For all ν ∈ P(X ),
Z Z 
u
H(ν|µ) = sup u dν − log e dµ; u ∈ Cb (X ) .
(25) Z Z 
u
= sup u dν − log e dµ; u ∈ Bb (X )

and for all ν ∈ P(X ) such that ν ≪ µ,

Z Z Z Z 
u u
(26) H(ν|µ) = sup u dν − log e dµ; u : measurable, e dµ < ∞, u− dν < ∞
R R
where u− = (−u) ∨ 0 and u dν ∈ (−∞, ∞] is well-defined for all u such that u− dν < ∞.
The identities (25) are well-known, but the proof of (26) is more confidential. This is the
reason why we give their detailed proofs at the Appendix, Proposition B.1.
As regards Remark 1.2, a sufficient condition for µ to satisfy H(ν|µ) = ∞ whenever ν 6∈ Pp
is
Z
p (x
(27) eso d o ,x)
dµ(x) < ∞
R
for some xo ∈ X and so > 0. Indeed, by (26), for all ν ∈ P(X ), so dp (xo , x) dν(x) ≤
R p
H(ν|µ) + log eso d (xo ,x) dµ(x). On the other hand, Proposition 6.1 below tells us that (27)
is also a necessary condition.
R
Since u 7→ Λ(u) := log eu dµ is convex (use Hölder inequality to show it) and lower
semicontinuous on Cb (X ) (resp. Bb (X )) (use Fatou’s lemma), one observes that H( · |µ)
(more precisely its extension to the vector space of signed bounded measures which achieves
the value +∞ outside P(X )) and Λ are convex conjugate to each other:

H( · |µ) = Λ∗ ,
Λ = H( · |µ)∗ .
 TRANSPORT INEQUALITIES 19

It appears that Tc ( · , µ) and H( · |µ) both can be written as convex conjugates of functions
on a class of functions on X . This structure will be exploited in a moment to give a dual
formulation of inequalities α(Tc ) ≤ H, for α belonging to the following class.
Definition 3.1 (of A). The class A consists of all the functions α on [0, ∞) which are
convex, increasing with α(0) = 0.

The convex conjugate of a function α ∈ A is replaced by the monotone conjugate α⊛

defined by
α⊛ (s) = sup{sr − α(r)}, s ≥ 0
r≥0
where the supremum is taken on r ≥ 0 instead of r ∈ R.
Theorem 3.2. Let c be a lower semicontinuous cost function, α ∈ A and µ ∈ P(X ); the
following propositions are equivalent.
(1) The probability measure µ verifies the inequality α(Tc ) ≤ H.
(2) For all u, v ∈ Cb (X ), such that u ⊕ v ≤ c,
Z R ⊛
esu dµ ≤ e−s v dµ+α (s) , s ≥ 0.

Moreover, the same result holds with Bb (X ) instead of Cb (X ).

A variant of this result can be found in the authors’ paper [53] and in Villani’s textbook
[104, Thm. 5.26]. It extends the dual characterization of transport inequalities T1 and T2
obtained by Bobkov and Götze in [17].

Proof. First we extend α to the whole real line by defining α(r) = 0, for all r ≤ 0. Using
Kantorovich dual equality and the fact that α is continuous and increasing on R, we see that
the inequality α(Tc ) ≤ H holds if and only if for all u, v ∈ Cb (X ), such that u ⊕ v ≤ c, one
has Z Z 
α u dν + v dµ ≤ H(ν|µ), ν ∈ P(X ).

Since α is convex and continuous on R, it satisfies α(r) = sups {sr − α∗ (s)}. So the preceding
condition is equivalent to the following one
Z Z
s u dν − H(ν|µ) ≤ −s v dµ + α∗ (s), ν ∈ P(X ), s ∈ R, u ⊕ v ≤ c.

Since H( · |µ)∗ = Λ, optimizing over ν ∈ P(X ), we arrive at

Z Z
log e dµ ≤ −s v dµ + α∗ (s), s ∈ R, u ⊕ v ≤ c.
su

Since α∗ (s) = +∞ when s < 0 and α∗ (s) = α⊛ (s) when s ≥ 0, this completes the proof. 

Let us define, for all f, g ∈ Bb (X ),

Pc f (y) = sup {f (x) − c(x, y)}, y ∈ X,
x∈X
and
Qc g(x) = inf {g(y) + c(x, y)}, x ∈ X.
y∈X
20 NATHAEL GOZLAN, CHRISTIAN LÉONARD

For a given function f : X → R, Pc f is the best function g : X → R (the smallest) such that
f (x) − g(y) ≤ c(x, y), for all x, y ∈ X . And for a given function g : X → R, Qc g is the best
function f : X → R (the biggest) such that f (x) − g(y) ≤ c(x, y), for all x, y ∈ X .
The following immediate corollary gives optimized forms of the dual condition (2) stated
in Theorem 3.2.
Corollary 3.3. Let c be a lower semicontinuous cost function, α ∈ A and µ ∈ P(X ). The
following propositions are equivalent.

(1) The probability measure µ verifies the inequality α(Tc ) ≤ H.

(2) For all f ∈ Cb (X ),
Z R ⊛
esf dµ ≤ es Pc f dµ+α (s) , s ≥ 0.

(3) For all g ∈ Cb (X ),

Z R
g dµ+α⊛ (s)
esQc g dµ ≤ es , s ≥ 0.

Moreover, the same result holds true with Bb (X ) instead of Cb (X ).

When the cost function is a lower semicontinuous distance, we have the following.
Corollary 3.4. Let d be a lower semicontinuous distance, α ∈ A and µ ∈ P(X ). The
following propositions are equivalent.

(1) The probability measure µ verifies the inequality α(Td ) ≤ H.

(2) For all 1-Lipschitz function f ,
Z R ⊛
esf dµ ≤ es f dµ+α (s) , s ≥ 0.

Corollary 3.3 enables us to give an alternative proof of the tensorization property given at
Proposition 1.9.

Proof of Proposition 1.9. For the sake of simplicity, let us explain the proof for n = 2. The
general case is done by induction (see for instance [53, Theorem 5]). Let us consider, for all
f ∈ Bb (X )
Qc f (x) = inf {f (y) + c(x, y)}, x ∈ X
y∈X

and for all f ∈ Bb (X × X ),

Q(2)
c f (x) = inf {f (y1 , y2 ) + c(x1 , y1 ) + c(x2 , y2 )}, x ∈ X × X.
y∈X ×X

According to the dual formulation of transport-entropy inequalities (Corollary 3.3 (2)), µ

verifies the inequality α(Tc ) ≤ H if and only if
Z R ∗
(28) esQc f dµ ≤ es f dµ+α (s) , s ≥ 0
 TRANSPORT INEQUALITIES 21
 
Tc⊕2
for all f ∈ Bb (X ). On the other hand, µ2 verifies the inequality 2α 2 ≤ H if and only if
Z R
(2) 2 ∗
esQc f dµ2 ≤ es f dµ +2α (s) , s ≥ 0,

holds for all f ∈ Bb (X × X ). Let f ∈ Bb (X × X ),

Q(2)
c f (x1 , x2 ) = inf {f (y1 , y2 ) + c(x1 , y1 ) + c(x2 , y2 )}
y1 ,y2 ∈X
 
= inf inf {f (y1 , y2 ) + c(x2 , y2 )} + c(x1 , y1 )
y1 ∈X y2 ∈X
= inf {Qc (fy1 )(x2 ) + c(x1 , y1 )}
y1 ∈X

where for all y1 ∈ X , fy1 (y2 ) = f (y1 , y2 ), y2 ∈ X .

So, applying (28) gives
Z Z Z 
(2)
sQc f 2 s inf y1 ∈X {Qc (fy1 )(x2 )+c(y1 ,x1 )}
e dµ = e dµ(x1 ) dµ(x2 )
X ×X
Z R
⊛
≤ eα (s) es Qc (fx1 )(x2 ) dµ(x1 ) dµ(x2 ).

But,
Z Z
Qc (fx1 )(x2 ) dµ(x1 ) = inf {f (x1 , y1 ) + c(x2 , y1 )} dµ(x1 ) ≤ Qc (f¯)(x2 ),
y1 ∈X
R
with f¯(y1 ) = f (x1 , y1 ) dµ(x1 ).
Applying (28) again yields
Z R Z R
s Qc (fx1 )(x2 ) dµ(x1 ) ¯ ⊛ ¯
e dµ(x2 ) ≤ esQc (f )(x2 ) dµ(x2 ) ≤ eα (s)+s f (x2 ) dµ(x2 ) .
R R
Since f¯(x2 ) dµ(x2 ) = f dµ2 , this completes the proof. 

To conclude this section, let us put the preceding results in an abstract general setting.
Our motivation to do that is to consider transport inequalities involving other functionals J
than the entropy.
Consider two convex functions on some vector space U of measurable functions on X ,
Θ : U → (−∞, ∞] and Υ : U → (−∞, ∞]. Their R convex conjugates are defined for all ν in
the space MU of all measures on X such that |u| dν < ∞, for all u ∈ U by
 R
T (ν) = supu∈U R u dν − Θ(u)
J(ν) = supu∈U u dν − Υ(u)
Without loss of generality, one assumes that Υ is a convex and σ(U , MU )-lower semicontinuous
function, so that J and Υ are convex conjugate to each other. It is assumed that U contains
the constant functions, Θ(0) = Υ(0) = 0, Θ(u + a1) = Θ(u) + a and Υ(u + a1) = Υ(u) + a
for all real a and all u ∈ U and that Θ and Υ are increasing. This
R implies that T and J are
[0, ∞]-valued with their effective domain in PU := {ν ∈ P(X ); |u| dν < ∞, ∀u ∈ U }. In this
setting, we have the following theorem whose proof is a straightforward adaptation of the
proof of Theorem 3.2.
22 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Theorem 3.5. Let α ∈ A and U , T, J as above. For all u ∈ U and s ≥ 0 define Υu (s) :=
Υ(su) − sΘ(u). The following statements are equivalent.
(a) For all ν ∈ PU , α(T (ν)) ≤ J(ν).
(b) For all u ∈ U and s ≥ 0, Υu (s) ≤ α⊛ (s).

This general result will be used in Section 10 devoted to transport-information inequalities,

where the functional J is the Fisher information.

4. Concentration for product probability measures

Transport-entropy inequalities are intrinsically linked to the concentration of measure phe-

nomenon for product probability measures. This relation was first discovered by K. Marton
in [76]. Informally, a concentration of measure inequality quantifies how fast the probability
goes to 1 when a set A is enlarged.
Definition 4.1. Let X be a Hausdorff topological space and let G be its Borel σ-field. An
enlargement function is a function enl : G × [0, ∞) → G such that
• For all A ∈ G, r 7→ enl(A, r) is increasing on [0, ∞) (for the set inclusion).
• For all r ≥ 0, A 7→ enl(A, r) is increasing (for the set inclusion).
• For all A ∈ G, A ⊂ enl(A, 0).
• For all A ∈ G, ∪r≥0 enl(A, r) = X .
If µ is a probability measure on X , one says that it verifies a concentration of measure
inequality if there is a function β : [0, ∞) → [0, ∞) such that β(r) → 0 when r → +∞ and
such that for all A ∈ G with µ(A) ≥ 1/2 the following inequality holds
µ(enl(A, r)) ≥ 1 − β(r), r ≥ 0.

There are many ways of enlarging sets. If (X , d) is a metric space, a classical way is to
consider the r-neighborhood of A defined by
Ar = {x ∈ X ; d(x, A) ≤ r}, r ≥ 0,
where the distance of x from A is defined by d(x, A) = inf y∈A d(x, y).
Let us recall the statement of Marton’s concentration theorem whose proof was given at
Theorem 1.7.
Theorem 4.2 (Marton’s concentration theorem). Suppose that µ verifies the inequality
α (Td (ν, µ)) ≤ H(ν|µ), for all ν ∈ P(X ). Then for all A ⊂ X , with µ(A) ≥ 1/2, the
following holds
µ(Ar ) ≥ 1 − e−α(r−ro ) , r ≥ ro := α−1 (log 2).

We already stated at Proposition 1.9 an important tensorization result. Its statement is

recalled below at Proposition 4.3.
Proposition 4.3. Let c be a lower semicontinuous cost function on X and α ∈ A (see
Definition 3.1). Suppose that a probability measure µ verifies the transport-entropy inequality
 TRANSPORT INEQUALITIES 23

α(Tc ) ≤ H on X , then µn , n ≥ 1 verifies the inequality

 
Tc⊕n (ν, µn )
nα ≤ H(ν|µn ), ν ∈ P(X n ),
n
P
where c⊕n (x, y) = ni=1 c(xi , yi ).

Other forms of non-product tensorizations have been studied (see [77, 78, 79, 80], [94] or
[37, 112]) in the context of Markov chains or Gibbs measures (see Section 11).
Let us recall a first easy consequence of this tensorization property.
Corollary 4.4. Suppose that a probability measure µ on X verifies the inequality T2 (C),
then µn verifies the inequality T2 (C) on X n , for all positive integer n. In particular, the
following dimension-free Gaussian concentration property holds: for all positive integer n
and for all A ⊂ X n with µn (A) ≥ 1/2,
1 p
µn (Ar ) ≥ 1 − exp(− (r − ro )2 ), r ≥ ro := log(2),
C
 Pn 
2 1/2 .
where Ar = {x ∈ X n ; d2 (x, A) ≤ r} and d2 (x, y) = i=1 d(xi , yi )
Equivalently, when µ verifies T2 (C),
2 /C
µn (f > mf + r + ro ) ≤ e−r , r ≥ 0,
for all positive integer n and all 1-Lipschitz function f : X n → R with median mf .

Proof. According to the tensorization property, µn verifies the inequality T2 (C) on X n

equipped with the metric d2 defined above. It follows from Jensen inequality that µn also
verifies the inequality (Td2 )2 ≤ CH. Theorem 4.2 and Proposition 1.6 then give the conclu-
sion. 
Remark 4.5. So, as was already emphasized at Section 1, when µ verifies T2 , it verifies a
dimension-free Gaussian concentration inequality. Dimension-free means that the concentra-
tion inequality does not depend explicitly on n. This independence on n corresponds to an
optimal behavior. Indeed, the constants in concentration inequalities cannot improve when
n grows.

More generally, the following proposition explains what kind of concentration inequalities
can be derived from a transport-entropy inequality.
Proposition 4.6. Let µ be a probability measure on X satisfying the inequality α(Tθ(d) ) ≤ H,
where the function θ is convex and such that supt>0 θ(2t)/θ(t) < +∞.

Then for all λ ∈ (0, 1), there is some constant aλ > 0 such that
Z  
d(x, y)
inf θ dπ(x, y) ≤ aλ α−1 (H(ν|µ)) ,
π X ×X λ
where the infimum is over the set of couplings of ν and µ.
24 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Furthermore, the product probability measure µn on X n , n ≥ 1 satisfies the following

concentration property.
For all A ⊂ X n such that µn (A) ≥ 1/2,
  
n r − ron (λ)
µ (enlθ (A, r)) ≥ 1 − exp −nα , r ≥ ron (λ), λ ∈ (0, 1),
nλaλ
where
( n
)
X
n
(29) enlθ (A, r) = x ∈ X ; inf θ(d(xi , yi )) ≤ r ,
y∈A
i=1

and  
log 2
ron (λ) = (1 − λ)a1−λ nα−1 .
n

The proof can be easily adapted from [52, Proposition 3.4].

Remark 4.7.
(1) It is not difficult to check that aλ → +∞ when λ → 0.
(2) If α is linear, the right-hand side does not depend explicitly on n. In this case, the
concentration inequality is dimension-free.
(3) For example, if µ verifies T2 (C) (which corresponds to α(t) = t/C and θ(t) = t2 ),
then one can take aλ = λ12 . Defining as before Ar = {x ∈ X n ; inf y∈A d2 (x, y) ≤ r}
Pn

2 1/2 and optimizing over λ ∈ (0, 1), yields
where d2 (x, y) = i=1 d(xi , yi )
1 2 p
µn (Ar ) ≥ 1 − e− C (r−ro ) , r ≥ ro = C log 2.
So we recover the dimension-free Gaussian inequality of Corollary 4.4.

As we said above there are many ways of enlarging sets, and consequently there many ways
to describe the concentration of measure phenomenon. In a series of papers [99, 100, 101]
Talagrand has deeply investigated the concentration properties of product of probability mea-
sures. In particular, he has proposed different families of enlargements which do not enter
into the framework of (29). In particular he has obtained various concentration inequalities
based on convex hull approximation or q-points control, which have found numerous applica-
tions (see [68] or [99]): deviation bounds for empirical processes, combinatoric, percolation,
probability on graphs, etc.
The general framework is the following: One considers a product space X n . For all A ⊂ X n ,
a function ϕA : X n → [0, ∞) measures how far is the point x ∈ X n from the set A. The
enlargement of A is then defined by
enl(A, r) = {x ∈ X n ; ϕA (x) ≤ r}, r ≥ 0.

Convex hull approximation. Define on X n the following weighted Hamming metrics:

n
X
da (x, y) = ai 1xi 6=yi , x, y ∈ X n ,
i=1
 TRANSPORT INEQUALITIES 25
p
where a ∈ ([0, ∞))n is such that |a| = a21 + · · · + a2n = 1. The function ϕA is defined as
follows:
ϕA (x) = sup d(x, A), x ∈ X n .
|a|=1
An alternative definition for ϕA is the following. For all x ∈ X n , consider the set
UA (x) = {(1x1 6=y1 , . . . , 1xn 6=yn ); y ∈ A},
and let VA (x) be the convex hull of UA (x). Then it can be shown that
ϕA (x) = d(0, VA (x)),
where d is the Euclidean distance in Rn .
A basic result related to convex hull approximation is the following theorem by Talagrand
([99, Theorem 4.1.1]).
Theorem 4.8. For every product probability measure P on X n , and every A ⊂ X n ,
Z
2 1
eϕA (x)/4 dP (x) ≤ .
P (A)
In particular,
1 −r2 /4
P (enl(A, r)) ≥ 1 − e , r ≥ 0.
P (A)

This result admits many refinements (see [99]).

In [78], Marton developed transport-entropy inequalities to recover some of Talagrand’s
results on convex hull approximation. To catch the Gaussian type concentration inequality
stated in the above theorem, a natural idea would be to consider a T2 inequality with respect
to the Hamming metric. In fact, it can be shown easily that such an inequality cannot hold.
Let us introduce a weaker form of the transport-entropy inequality T2 . Let X be some polish
space, and d a metric on X ; define
Z Z 2
e
T2 (Q, R) = inf y
d(x, y) dπ (x) dR(y), Q, R ∈ P(X ),
π X X
where the infimum runs over all the coupling π of Q and R and where X → P(X ) : y 7→ π y
is a regular disintegration of π given y:
Z Z Z 
y
f (x, y) dπ(x, y) = f (x, y)dπ (x) dR(y),
X ×X X X
for all bounded measurable f : X × X → R.
According to Jensen inequality,
T1 (Q, R)2 ≤ Te2 (Q, R) ≤ T2 (Q, R).

e 2 (C) if
One will says that µ ∈ P(X ) verifies the inequality T
Te2 (Q, R) ≤ CH(Q|P ) + CH(R|P ),
for all probability measures Q, R on X .
The following theorem is due to Marton.
26 NATHAEL GOZLAN, CHRISTIAN LÉONARD

e 2 (4) with respect

Theorem 4.9. Every probability measure P on X , verifies the inequality T
to the Hamming metric. In other words,
Z
e
T2 (Q, R) = inf π y {x; xi 6= yi }2 dR(y) ≤ 4H(Q|P ) + 4H(R|P ),
π

for all probability measures Q, R on X .

A proof of this result can be found in [78] or in [68].

e 2 admits a dimension-free tensorization property. A variant of
Like T2 , the inequality T
Marton’s argument can be used to derive dimension-free concentration and recover Tala-
grand’s concentration results for the convex hull approximation distance. We refer to [78]
and [68, Chp 6] for more explanations and proofs.

Control by q-points. Here the point of view is quite different: q ≥ 2 is a fixed integer and
a point x ∈ X n will be close from A if it has many coordinates in common with q vectors of
A. More generally, consider A1 , . . . , Aq ⊂ X n ; the function ϕA1 ,...,Aq is defined as follows:

ϕA1 ,...,Aq (x) = inf Card i; xi 6∈ {yi1 , . . . , yiq } }.
y 1 ∈A1 ,...,y q ∈Aq

Talagrand’s has obtained the following result (see [99, Theorem 3.1.1] for a proof and further
refinements).
Theorem 4.10. For every product probability measure P on X n , and every family A1 , . . . , Aq ⊂
X n , q ≥ 2, the following inequality holds
Z
1
q ϕA1 ,...,Aq (x) dP (x) ≤ .
P (A1 ) · · · P (Aq )
In particular, defining enl(A, r) = {x ∈ X n ; ϕA,...,A (x) ≤ r}, one gets
1
P (enl(A, r)) ≥ 1 − , r ≥ 0.
q r P (A)r

In [33], Dembo has obtained transport-entropy inequalities giving back Talagrand’s results
for q-points control. See also [34], for related inequalities.

5. Transport-entropy inequalities and large deviations

In [53], Gozlan and Léonard have proposed an interpretation of transport-entropy inequal-

ities in terms of large deviations theory. To expose this point of view, let us introduce some
notation. Suppose that (Xn )n≥1 is a sequence of independent and identically distributed X
valued random variables with common law µ. Define their empirical measure
n
1X
Ln = δXi ,
n
i=1
where δa stands for the Dirac mass at point a ∈ X . Let Cb (X ) be the set of all bounded
continuous functions on X . The set of all Borel probability measures on X , denoted by
P(X ), will be endowed with the
R weak topology, that is the smallest topology with respect
to which all functionals ν 7→ X ϕ dν with ϕ ∈ Cb (X ) are continuous. If B ⊂ X , let us
 TRANSPORT INEQUALITIES 27

denote H(B|µ) = inf{H(ν|µ); ν ∈ B}. According to a famous theorem of large deviations

theory (Sanov’s theorem), the relative entropy functional governs the asymptotic behavior
of P(Ln ∈ A), A ⊂ X when n goes to ∞.
Theorem 5.1 (Sanov’s theorem). For all A ⊂ P(X ) measurable with respect to the Borel
σ-field,
1 1
−H(int(A)|µ) ≤ lim inf log P (Ln ∈ A) ≤ lim sup log P (Ln ∈ A) ≤ −H(cl(A)|µ),
n→+∞ n n→+∞ n
where int(A) denotes the interior of A and cl(A) its closure (for the weak topology).

For a proof of Sanov’s theorem, see [35, Thm 6.2.10].

Roughly speaking, P(Ln ∈ A) behaves like e−nH(A|µ) when n is large. We write the
statement of this theorem: P(Ln ∈ A) ≍ e−nH(A|µ) for short.
n→∞
Let us explain the heuristics upon which rely [53] and also the articles [52, 57]. To interpret
the transport-entropy inequality α (Tc ) ≤ H, let us define At = {ν ∈ P(X ); Tc (ν, µ) ≥ t}, for
all t ≥ 0. Note that the transport-entropy inequality can be rewritten as α(t) ≤ H(At |µ),
t ≥ 0. But, according to Sanov’s theorem,
P(Tc (Ln , µ) ≥ t) = P(Ln ∈ At ) ≍ e−nH(At |µ) .
n→∞
Consequently, the transport-entropy inequality α (Tc ) ≤ H is intimately linked to the large
deviation estimate
1
lim sup log P(Tc (Ln , µ) ≥ t) ≤ −α(t), t ≥ 0.
n→+∞ n

Based on this large deviation heuristics, Gozlan and Léonard have obtained in [53] the
following estimates for the deviation of the empirical mean.
Theorem 5.2. Let α be any function in A Rand assume that c(x, x) = 0, for all x. Define
∀ (µ) := u : X → R, measurable, ∀s > 0, es|u| dµ < ∞ . It is supposed that c is such
Uexp
that ucc and uc are measurable functions for all u ∈ Uexp
∀ (µ). This is the case in particular if

either c = d is a lower semicontinuous metric cost or c is continuous. Then, the following

statements are equivalent.
(a) The transport-entropy inequality
α(Tc (ν, µ)) ≤ H(ν|µ),
holds for all ν ∈ P(X ).
(b) For all function u ∈ Uexp ∀ (µ), the inequality
Z Z 
1 cc c
lim sup log P u dLn + u dµ ≥ r ≤ −α(r),
n→∞ n X X
holds for all r ≥ 0.
(c) For all u ∈ U ∀ exp (µ), the inequality
Z Z 
1 cc c
log P u dLn + u dµ ≥ r ≤ −α(r),
n X X
holds for all positive integer n and r ≥ 0.
28 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Specializing to the situation where c = d, since udd = −ud ∈ Lip(1), this means:
R
Corollary 5.3 (Deviation of the empirical mean). Suppose that X esd(xo , · ) dµ < ∞ for some
xo ∈ X and all s > 0. Then, the following statements are equivalent.
(a) The transport-entropy inequality
α(W1 (ν, µ)) ≤ H(ν|µ),
holds for all ν ∈ P(X ).
(b) For all u ∈ Lip(1), the inequality
n Z !
1 1X
lim sup log P u(Xi ) ≥ u dµ + r ≤ −α(r),
n→∞ n n X
i=1
holds for all r ≥ 0.
(c) For all u ∈ Lip(1), the inequality
n Z !
1 1X
log P u(Xi ) ≥ u dµ + r ≤ −α(r),
n n X
i=1
holds for all positive integer n and r ≥ 0.

Sanov’s Theorem and concentration inequalities match also well together, since both give
asymptotic results for probabilities of events related to an i.i.d sequence.
In [52], Gozlan has established the following converse to Proposition 4.6:
Theorem 5.4. Let µ be a probability measure on X and (ron )n a sequence of nonnegative
numbers such that ron /n → 0 when n → +∞. Suppose that for all integer n the product
measure µn verifies the following concentration inequality:
  
n r − ron
(30) µ (enlθ (A, r)) ≥ 1 − exp −nα , r ≥ ron ,
n
for all A ⊂ X n with µn (A) ≥ 1/2, where enlθ (A, r) is defined in Proposition 4.6. Then µ
satisfies the transport-entropy inequality α(Tθ(d) ) ≤ H.

Together

with Proposition 4.6, this result shows that the transport-entropy inequality
α Tθ(d) ≤ H is an equivalent formulation of the family of concentration inequalities (30).
Let us emphasize a nice particular case.
Corollary 5.5. Let µ be a probability measure on X ; µ enjoys the Gaussian dimension-free
concentration property if and only if µ verifies Talagrand inequality T2 . More precisely, µ
satisfies T2 (C) if and only if there is some K > 0 such that for all integer n the inequality
2 /C
µn (Ar ) ≥ 1 − Ke−r , r ≥ 0,
holds for all A ⊂ Xn with µn (A) ≥ 1/2 and where Ar = {x ∈ X n ; inf y∈A d2 (x, A) ≤ r} and
Pn

2 1/2 .
d2 (x, y) = i=1 d(xi , yi )

To put these results in perspective, let us recall that in recent years numerous functional
inequalities and tools were introduced to describe the concentration of measure phenome-
non. Besides transport-entropy inequalities, let us mention other recent approaches based on
 TRANSPORT INEQUALITIES 29

Poincaré inequalities [55, 19], logarithmic Sobolev inequalities [67, 17], modified logarithmic
Sobolev inequalities [19, 21, 47, 10], inf-convolution inequalities [82, 66], Beckner-Latala-
Oleszkiewicz inequalities [11, 65, 9, 7]. . . So the interest of Theorem 5.4 is that it tells that
transport-entropy inequalities are the right point of view, because they are equivalent to
concentration estimates for product measures.

Proof of Corollary 5.5. Let us show that dimension-free Gaussian concentration implies Ta-
lagrand inequalityP(the other implication is Corollary 4.4). √For every integer n, and x ∈ X n ,
define Lxn = n−1 ni=1 δxi . The map x 7→ W2 (Lxn , µ) is 1/ n-Lipschitz with respect to the
metric d2 . Indeed, if x = (x1 , . . . , xn ) and y = (y1 , . . . , yn ) are in X n , then the triangle
inequality implies that
|W2 (Lxn , µ) − W2 (Lyn , µ)| ≤ W2 (Lxn , Lyn ).
According to the convexity property of T2 ( · , · ) (see e.g [104, Theorem 4.8]), one has
n n
1X 1X 1
T2 (Lxn , Lyn ) ≤ T2 (δxi , δyi ) = d(xi , yi )2 = d2 (x, y)2 ,
n n n
i=1 i=1

which proves the claim.

Now, let (Xi )i be an i.i.d sequence of law µ and let Ln be its empirical measure. Let mn
be the median of W2 (Ln , µ) and define A = {x ∈ X ; W2 (Lxn , µ)√≤ mn }. Then µn (A) ≥ 1/2
and it is easy to show that Ar ⊂ {x ∈ X ; W2 (Lxn , µ) ≤ mn + r/ n}. Applying the Gaussian
concentration inequality to A gives
√


P W2 (Ln , µ) > mn + r/ n ≤ K exp −r 2 /C , r ≥ 0.
Equivalently, as soon as u ≥ mn , one has


P (W2 (Ln , µ) > u) ≤ K exp −n(u − mn )2 /C .
Now, it is not difficult to show that mn → 0 when n → ∞ (see the proof of [52, Theorem
3.4]). Consequently,
1
lim sup log P (W2 (Ln , µ) > u) ≤ −u2 /C.
n→+∞ n

for all u ≥ 0.
On the other hand, according to Sanov’s Theorem 5.1,
1
lim inf log P (W2 (Ln , µ) > u) ≥ − inf {H(ν|µ); ν ∈ P(X ) s.t. W2 (ν, µ) > u} .
n→+∞ n
This together with the preceding inequality yields
inf {H(ν|µ); ν ∈ P(X ) s.t. W2 (ν, µ) > u} ≥ u2 /C
or in other words,
W2 (ν, µ)2 ≤ CH(ν|µ),
and this completes the proof. 
30 NATHAEL GOZLAN, CHRISTIAN LÉONARD

6. Integral criteria

Let us begin with a basic observation concerning the integrability.

Proposition 6.1. SupposeR that a probability measure µ on X verifies the inequality α(Tθ(d) ) ≤
H, and let xo ∈ X ; then X exp (α ◦ θ(εd(x, xo ))) dµ(x) is finite for all ε > 0 small enough.

Proof. If µ verifies the inequality α(Tθ(d) ) ≤ H, then according to Jensen inequality, it verifies
the inequality α ◦ θ (Td ) ≤ H and according to Theorem 4.2, the inequality
µ(Ar ) ≥ 1 − exp(−α ◦ θ(r − ro )), r ≥ ro = θ −1 ◦ α−1 (log 2),
holds for all A with µ(A) ≥ 1/2. Let m be a median of the function x 7→ d(x, xo ) ; applying
the previous inequality to A = {x ∈ X ; d(x, xo ) ≤ m} yields
µ(d(x, xo ) > m + r) = µ(X \ Ar ) ≤ exp(−α ◦ θ(r − ro )), r ≥ ro .
R
It follows easily that exp (α ◦ θ(εd(x, xo ))) dµ(x) < +∞, if ε is sufficiently small. 

The theorem below shows that this integrability condition is also sufficient when the func-
tion α is supposed to be subquadratic near 0.
Theorem 6.2. Let µ be a probability measure on X and define α⊛ (s) = supt≥0 {st − α(t)},
for all s ≥ 0. If the function α is such that lim supt→0 α(t)/t2 < +∞ and sup{α⊛ (t); t :
α⊛ (t) < +∞} = +∞, then the following statements are equivalent:


(1) There is some a > 0 such that α aTθ(d) (ν, µ) ≤ H(ν|µ).
R
(2) There is some b > 0 such that X ×X eα◦θ(bd(x,y)) dµ(x)dµ(y) < +∞.

Djellout, Guillin and Wu [37] were the first ones to notice that the inequality T1 is equiva-
R 2
lent to the integrability condition X ×X ebd(x,y) dµ(x)dµ(y) < +∞. After them, this charac-
terization was extended to other functions α and θ by Bolley and Villani [22]. Theorem 6.2
is due to Gozlan [49]. Let us mention that the constants a and b are related to each other in
[49, Theorem 1.15].
Again to avoid technical difficulties, we are going to establish a particular case of Theorem
6.2:
R 2 d(x,y)
2
Proposition 6.3. If M = X ×X eb 2 dµ(x)dµ(y) is finite for some b > 0, then µ verifies
the following T1 inequality:
1p p
Td (ν, µ) ≤ 1 + 2 log M 2H(ν|µ),
b
for all ν ∈ P(X ).

Proof. First one can suppose that b = 1 (if this is not the case, just replace the distance d by
the distance bd). Let C = 2(1 + 2 log(M )); according to Corollary 3.4, it is enough to prove
that Z
s2 C
esf dµ ≤ e 4 , s≥0
 TRANSPORT INEQUALITIES 31
R
for all 1-Lipschitz function with f dµ = 0. Let X, Y be two independent variables of law µ;
using Jensen inequality, the symmetry of f (X) − f (Y ), the inequality (2i)! ≥ 2i · i! and the
fact that f is 1-Lipschitz, one gets
h i h i X +∞ 2i  
sf (X) s(f (X)−f (Y )) s E (f (X) − f (Y ))2i
E e ≤E e =
(2i)!
i=0
+∞ 2i     2 
X s E d(X, Y )2i s d(X, Y )2
≤ = E exp .
2i · i! 2
i=0
  2
So, for s ≤ 1, Jensen inequality gives E esf (X) ≤ M s . If s ≥ 1, then Young inequality
    s2   s2 2 2
implies E esf ≤ E es(f (X)−f (Y )) ≤ e 2 M. So in all cases, E esf ≤ e 2 M s = es C/4 which
completes the proof. 

7. Transport inequalities with uniformly convex potentials

This section is devoted to some results which have been proved by Cordero-Erausquin in
[27] and Cordero-Erausquin, Gangbo and Houdré in [28].
Let us begin with a short overview of [27]. The state space is X = Rk . Let V : Rk → R
be a function of class C 2 which is semiconvex, i.e. Hessx V ≥ κId for all x, for some real κ. If
κ > 0, the potential V is said to be uniformly convex. Define
dµ(x) := e−V (x) dx
and assume that µ is a probability measure. The main result of [27] is the following
1
RTheoremR 7.1. Let f, g be nonnegative compactly supported functions with f of class C and
f dµ = g dµ = 1. If T (x) = x + ∇θ(x) is the Brenier map pushing forward f µ to gµ (see
Theorem 2.9), then
Z Z
κ
(31) H(gµ|µ) ≥ H(f µ|µ) + ∇f · ∇θ dµ + |∇θ|2 f dµ.
Rk 2 Rk

Before presenting a sketch of the proof of this result, let us make a couple of comments.
- This result is an extension of Talagrand inequality (7).
- About the regularity of θ. As a convex function, θ is differentiable almost everywhere
and it admits a Hessian in the sense of Alexandrov almost everywhere (this is the
statement of Alexandrov’s theorem). A function θ admits a Hessian in the sense of
Alexandrov at x ∈ Rk if it is differentiable at x and there exists a symmetric linear
map H such that
1
θ(x + u) = θ(x) + ∇θ(x)·u + Hu·u + o(|u|2 ).
2
As a definition, this linear map H is the Hessian in the sense of Alexandrov of θ at x
and it is denoted Hessx θ. Its trace is called the Laplacian in the sense of Alexandrov
and is denoted ∆A θ(x).
32 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Outline of the proof. The change of variables formula leads us to the Monge-Ampère equation
f (x)e−V (x) = g(T (x))e−V (T (x)) det(Id + Hessx θ)
Taking the logarithm, we obtain
log g(T (x)) = log f (x) + V (x + ∇θ(x)) − V (x) − log det(Id + Hessx θ).
Our assumption on V gives us V (x + ∇θ(x)) − V (x) ≥ ∇V (x) · ∇θ(x) + κ|∇θ|2 /2. Since
log(1 + t) ≤ t, we have also log det(Id + Hessx θ) ≤ ∆A θ(x) where ∆A θ stands for the
Alexandrov Laplacian. This implies that f µ-almost everywhere
log g(T (x)) ≥ log f (x) + ∇V (x)·∇θ(x) − ∆A θ(x) + κ|∇θ|2 /2
and integrating
Z Z Z Z
κ
log g(T ) f dµ ≥ f log f dµ + [∇V ·∇θ − ∆A θ] f dµ + |∇θ|2 f dµ
Rk Rk Rk 2 Rk

Integrating by parts (at this point, a rigorous proof necessitates to take account of the almost
everywhere in the definition of ∆A ), we obtain
Z Z
κ
H(gµ|µ) ≥ H(f µ|µ) + ∇θ·∇f dµ + |∇θ|2 f dµ
R k 2 R k

which is the desired result. 

Next results are almost immediate corollaries of this theorem.

Corollary 7.2 (Transport inequality). If V is of class C 2 with Hess V ≥ κId and κ > 0,
then the probability measure dµ(x) = e−V (x) dx satisfies the transport inequality T2 (2/κ):
κ 2
W (ν, µ) ≤ H(ν|µ),
2 2
for all ν ∈ P(Rk ).

Outline of the proof. Plug f = 1 into (31). 

This transport inequality extends Talagrand’s T2 -inequality [102].

In [42], Feyel and Üstünel have derived another type of extension of T2 from the finite
dimension setting to an abstract Wiener space. Their proof is based on Girsanov theorem.
Next result is the well-known Bakry-Emery criterion for the logarithmic Sobolev inequality
[4].
Corollary 7.3 (Logarithmic Sobolev inequality). If V is of class C 2 with Hess V ≥ κId
and κ > 0, then the probability measure dµ(x) = e−V (x) dx satisfies the logarithmic Sobolev
inequality LS(2/κ) (see Definition 8.9 below):
Z p
2
H(f µ|µ) ≤ |∇ f |2 dµ
κ X
for all sufficiently regular f such that f µ ∈ P(Rk ).
 TRANSPORT INEQUALITIES 33

Outline of the proof. Plugging g = 1 into (31) yields

Z Z
κ
(32) H(f µ|µ) ≤ − ∇f · ∇θ dµ − |∇θ|2 f dµ
R k 2 R k

where T (x) = x + ∇(x) is the Brenier map pushing forward f µ to µ. Since ∇θ is unknown
to us, we are forced to optimize as follows
 Z Z 
κ 2 2
H(f µ|µ) ≤ sup − ∇f · ∇θ dµ − |∇θ| f dµ = I(f µ|µ),
∇θ Rk 2 Rk κ
which is the desired inequality. 

The next inequality has been discovered by Otto and Villani [89]. It will be used in Section
8 for comparing transport and logarithmic Sobolev inequalities. More precisely, Otto-Villani’s
Theorem 8.12 states that if µ satisfies the logarithmic Sobolev inequality, then it satisfies T2 .
Let us define the (usual) Fisher information with respect to µ by
Z
IF (f |µ) = |∇ log f |2 f dµ

for all positive and sufficiently smooth function f.

Corollary 7.4 (HWI inequality). If V is of class C 2 with Hess V ≥ κId for some real κ, the
probability measure dµ(x) = e−V (x) dx satisfies the HWI inequality
p κ
H(f µ|µ) ≤ W2 (f µ, µ) IF (f |µ) − W22 (f µ, µ)
2
R
for all nonnegative smooth compactly supported function f with Rk f dµ = 1.

Note that the HWI inequality gives back the celebrated Bakry-Emery criterion.
R
Outline of the proof. Start from (32), use W22 (f µ, µ) = Rk |∇θ|2 f dµ and
Z Z
− ∇θ · ∇f dµ = − ∇θ · ∇ log f f dµ
Z Z 1/2
p
≤ |∇θ|2 f dµ |∇ log f |2 f dµ = W2 (f µ|µ) IF (f |µ),

and here you are. 

Now, let us have a look at the results of [28]. They extend Theorem 7.1 and its corollaries.
Again, the state space is X = Rk and the main ingredients are
• An entropy profile: r ∈ [0, ∞) 7→ s(r) ∈ R;
• A cost function: v ∈ Rk 7→ c(v) ∈ [0, ∞);
• A potential: x ∈ Rk 7→ V (x) ∈ R.
The framework of our previous Theorem 7.1 corresponds to the entropy profile s(r) = r log r−
r and the quadratic transport cost c(y − x) = |y − x|2 /2.
34 NATHAEL GOZLAN, CHRISTIAN LÉONARD

We are only interested in probability measures dρ(x) = ρ(x) dx which are absolutely
continuous and we identify ρ and its density. The free energy functional is
Z
F (ρ) := [s(ρ) + ρV ](x) dx
Rk
and our reference measure µ is the steady state: the unique minimizer of F. Since s will be
assumed to be strictly convex, µ is the unique solution of
(33) s′ (µ) = −V,
which, by (21) is
µ = s∗′ (−V ).
As s(ρ)+s∗ (−V ) ≥ −V ρ, seeR (20), in order that F is a well-defined (−∞,R∞]-valued function,
it is enough to assume that Rk s∗ (−V )(x) dx < ∞. One also requires that Rk s∗′ (−V )(x) dx =
1 so that µ is a probability density.
The free energy is the sum of the entropy S(ρ) and the internal energy U (ρ) which are defined
by Z Z
S(ρ) := s(ρ)(x) dx, U (ρ) := V (x)ρ(x) dx.
Rk Rk
It is assumed that
(As ) (a) s ∈ C 2 (0, ∞) ∩ C([0, ∞)) is strictly convex, s(0) = 0, s′ (0) = −∞ and
(b) r ∈ (0, ∞) 7→ r d s(r −d ) is convex increasing;
(Ac ) c is convex, of class C 1 , even, c(0) = 0 and lim|v|→∞ c(v)/|v| = ∞;
(AV ) For some real number κ, V (y) − V (x) ≥ ∇V (x)·(y − x) + κc(y − x), for all x, y.
If κ > 0, the potential V is said to be uniformly c-convex.
We see with Assumption (AV ) that the cost function c is a tool for quantifying the curvature
of the potential V. Also note that if κ > 0 and c(y − x) = ky − xkp for some p in (AV ), letting
y tend to x, one sees that it is necessary that p ≥ 2.
The transport cost associated with c is Tc (ρ0 , ρ1 ). Theorem 2.9 admits an extension to
the case of strictly convex transport cost c(y − x) (instead of the quadratic cost). Under
the assumption (Ac ) on c, if the transport cost Tc (ρ0 , ρ1 ) between two absolutely continuous
probability measures ρ0 and ρ1 is finite, there exists a unique (generalized) Brenier map T
which pushes forward ρ0 to ρ1 and it is represented by
T (x) = x + ∇c∗ (∇θ(x))
for some function θ such that θ(x) = − inf y∈Rk {c(y − x) + η(y)} for some function η. This has
been proved by Gangbo and McCann in [44] and T will be named later the Gangbo-McCann
map.
The fundamental result of [28] is the following extension of Theorem 7.1.
Theorem 7.5. For any ρ0 , ρ1 which are compactly supported and such that Tc (ρ0 , ρ1 ) < ∞,
we have
Z
(34) F (ρ1 ) − F (ρ0 ) ≥ κTc (ρ0 , ρ1 ) + (T (x) − x) · ∇[s′ (ρ0 ) − s′ (µ)](x) ρ0 (x) dx
Rk
where T is the Gangbo-McCann map which pushes forward ρ0 to ρ1 .
 TRANSPORT INEQUALITIES 35

Outline of the proof. Let us first have a look at S. Thanks to the assumption (As ) one can
prove that S is displacement convex. This formally means that if Tc (ρ0 , ρ1 ) < ∞,
d
S(ρ1 ) − S(ρ0 ) ≥ S(ρt )|t=0
dt
where (ρt )0≤t≤1 is the displacement interpolation of ρ0 to ρ1 which is defined by
ρt := [(1 − t)Id + tT ]# ρ0 , 0≤t≤1
where T pushes forward ρ0 to ρ1 . Since ∂ρ
∂t (t, x) + ∇ · [ρ(t, x)(T (x) − x)] = 0, another way of
writing this convex inequality is
Z
(35) S(ρ1 ) − S(ρ0 ) ≥ (T (x) − x) · ∇[s′ (ρ0 )](x) ρ0 (x) dx.
Rk
Note that when the cost is quadratic, by Theorem 2.9 the Brenier-Gangbo-McCann map
between the uniform measures ρ0 and ρ1 on the balls B(0, r0 ) and B(0, r1 ) is given by
T = (r1 /r0 )Id so that the image ρt = Tt# ρ0 of ρ0 by the displacement Tt = (1 − t)Id + tT at
time 0 ≤ t ≤ 1 is the uniform measure on the ball B(0, rt ) with rt = (1− t)r0 + tr1 . Therefore,
t ∈ [0, 1] 7→ S(ρt ) = rtd s(rt−d ) is convex for all 0 < r0 ≤ r1 if and only if r d s(r −d ) is convex:
i.e. assumption (As -b).
It is immediate that under the assumption (AV ) we have
Z
U (ρ1 ) − U (ρ0 ) ≥ ∇V (x)·[T (x) − x] ρ0 (x)dx + κTc (ρ0 , ρ1 ).
Rk
One can also prove that this is a necessary condition for assumption (AV ) to hold true.
Summing (35) with this inequality, and taking (33) into account, leads us to (34). 

Let us define the generalized relative entropy

Z
S(ρ|µ) := F (ρ) − F (µ) = [s(ρ) − s(µ) − s′ (µ)(ρ − µ)](x) dx
Rk

on the set Pac (Rk )

of all absolutely continuous probability measures on Rk . It is a [0, ∞]-
valued convex function which admits µ as its unique minimum.
Theorem 7.6 (Transport-entropy inequality). Assume that the constant κ in assumption
(AV ) is positive: κ > 0. Then, µ satisfies the following transport-entropy inequality
κTc (ρ, µ) ≤ S(ρ|µ),
for all ρ ∈ Pac (Rk ).

Outline of the proof. If ρ and µ are compactly supported, plug ρ0 = µ and ρ1 = ρ into
(34) to obtain the desired result. Otherwise, approximate ρ and µ by compactly supported
probability measures. 

Let us define the generalized relative Fisher information for all ρ ∈ Pac (Rk ) by
Z  
I(ρ|µ) := κ c∗ − κ−1 ∇[s′ (ρ) − s′ (µ)](x) dρ(x) ∈ [0, ∞]
Rk
with I(ρ|µ) = ∞ if ∇ρ is undefined on a set with positive Lebesgue measure.
36 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Theorem 7.7 (Entropy-information inequality). Assume that κ > 0. Then, µ satisfies the
following entropy-information inequality

S(ρ|µ) ≤ I(ρ|µ),

for all ρ ∈ Pac (Rk ).

Outline of the proof. Change c into κc so that the constant κ becomes κ = 1. If ρ and µ are
compactly supported, plug ρ0 = ρ and ρ1 = µ into (34) to obtain
Z
F (ρ) − F (µ) + Tc (ρ, µ) ≤ (T (x) − x) · ∇[s′ (µ) − s′ (ρ)](x) dρ(x)
k
ZR Z  
≤ c(T (x) − x) dρ(x) + c∗ ∇[s′ (µ) − s′ (ρ)](x) dρ(x)
Rk Rk

where the last inequality is a consequenceRof Fenchel inequality (20). Since T is the Gangbo-
McCann map between ρ and µ, we have Rk c(T (x) − x) dρ(x) = Tc (ρ, µ). Therefore,
Z  
F (ρ) − F (µ) ≤ c∗ − ∇[s′ (ρ) − s′ (µ)](x) dρ(x)
Rk

which is the desired result for compactly supported measures. For the general case, approx-
imate ρ and µ by compactly supported probability measures. 

A direct application of these theorems allow us to recover inequalities which were first
proved by Bobkov and Ledoux in [20].

Corollary 7.8. Let k · k be a norm on Rk and V a convex potential. Suppose that V is

uniformly p-convex with respect to k·k for some p ≥ 2; this means that there exists a constant
κ > 0 such that for all x, y ∈ Rk
 
x+y κ
(36) V (x) + V (y) − 2V ≥ ky − xkp .
2 p

Denote dµ(x) := e−V (x) dx (where it is understood that µ is a probability measure) and H(ρ|µ)
the usual relative entropy.

(1) µ verifies the transport-entropy inequality

κTcp (ρ, µ) ≤ H(ρ|µ),

for all ρ ∈ Pac (Rk ), where cp (y − x) = ky − xkp /p.

(2) µ verifies the entropy-information inequality
Z
1
H(f µ|µ) ≤ q−1 k∇ log f kq∗ f dµ
qκ Rk
R
for all smooth nonnegative function f such that Rk f dµ = 1, where k · k∗ is the dual
norm of k · k and 1/p + 1/q = 1.
 TRANSPORT INEQUALITIES 37

8. Links with other functional inequalities

In this section, we investigate the position of transport-entropy inequalities among the

relatively large class of functional inequalities (mainly of Sobolev type) appearing in the
literature. We will be concerned with transport-entropy inequalities of the form Tθ(d) ≤ H


since inequalities of the form α Tθ(d) ≤ H with a nonlinear function α are mainly described
in terms of integrability conditions according to Theorem 6.2.

8.1. Links with the Property (τ ). In [82], Maurey introduced the Property (τ ) which we
describe now. Let c be a cost function on X . Recall that for all f ∈ Bb (X ), the function Qc f
is defined by Qc f (x) := inf y {f (y) + c(x, y)}. If a probability measure µ ∈ P(X ) satisfies
Z  Z 
Qc f −f
(τ ) e dµ e dµ ≤ 1,

for all f ∈ Bb (X ), one says that the couple (µ, c) satisfies the Property (τ ).
The basic properties of this class of functional inequalities are summarized in the following
result.
Proposition 8.1. Suppose that (µ, c) verifies the Property (τ ), then the following holds.

(1) The probability measure µ verifies the transport-entropy inequality P Tc ≤ H.

(2) For all positive integer n, the couple (µn , c⊕n ), with c⊕n (x, y) = ni=1 c(xi , yi ), x, y ∈
X n , verifies the Property (τ ).
(3) For all positive integer n, and all Borel set A ⊂ X n with µn (A) > 0,
1
µn (enlc⊕n (A, r)) ≥ 1 − e−r , r≥0
µn (A)
where ( )
n
X
n
enlc⊕n (A, r) = x ∈ X ; inf c(xi , yi ) ≤ r
y∈A
i=1

The third point of the proposition above was the main motivation for the introduction
of this class of inequalities. In [82], Maurey established that the symmetric exponential
probability measure dν(x) = 21 e−|x| dx on R satisfies the Property (τ ) with the cost function
c(x, y) = a min(|x|2 , |x|) for some constant a > 0. It enables him to recover Talagrand’s
concentration results for the multidimensional exponential distribution with sharp constants.
Moreover, using the Prekopa-Leindler inequality (see Theorem 13.1 below), he showed that
the standard Gaussian measure γ verifes the Property (τ ) with the cost function c(x, y) =
1 2
4 |x − y| . The constant 1/4 is sharp.

Proof. (1) According to the dual formulation of transport-entropy

R R inequalities, see Corollary
3.3, µ verifies the inequality Tc ≤ H if and only if eQc f dµ · e− f dµ ≤ 1 for all f ∈ Bb (X ).
Jensen inequality readily implies that this condition is weaker than the Property (τ ).
(2) The proof of this tensorization property follows the lines of the proof of Theorem 4.3. We
refer to [82] or [68] for a complete proof.
38 NATHAEL GOZLAN, CHRISTIAN LÉONARD

(3) Applying the Property (τ ) satisfied by (µn , c⊕n ) to the function u(x) = 0 if x ∈ A and
u(x) = t, if x ∈
/ A and letting t → ∞ yields the inequality:
Z
⊕n 1
einf y∈A c (x,y) dµn (x) ≤ n ,
µ (A)
which immediately implies the concentration inequality. 

In fact, the Property (τ ) can be viewed as a symmetric transport-entropy inequality.

Proposition 8.2. The couple (µ, c) verifies the Property (τ ) if and only if µ verifies the
following inequality
Tc (ν1 , ν2 ) ≤ H(ν1 |µ) + H(ν2 |µ),
for all ν1 , ν2 ∈ P(X ).

Proof. According to the Kantorovich dual equality, see Theorem 2.2, the symmetric transport-
entropy inequality holds if and only if for all couple (u, v) of bounded functions such that
u ⊕ v ≤ c, the inequality
Z Z
u dν1 − H(ν1 |µ) + v dν2 − H(ν2 |µ) ≤ 0
R R
holds for all ν1 , ν2 ∈ P(X ). Since supν { u dν − H(ν|µ)} = log eu dµ (this is the convex
conjugate of the result of Proposition B.1), the symmetric transport-entropy inequality holds
if and only if Z Z
eu dµ ev dµ ≤ 1,
for all couple (u, v) of bounded functions such that u ⊕ v ≤ c. One concludes by observing
that for a given f ∈ Bb (X ), the best function u such that u ⊕ (−f ) ≤ c is u = Qc f. 

As we have seen above, the Property (τ ) is always stronger than the transport inequality
Tc ≤ H. Actually, when the cost function is of the form c(x, y) = θ(d(x, y)) with a convex θ,
the transport-entropy inequality and the Property (τ ) are qualitatively equivalent as shown
in the following.
Proposition 8.3. Let µ be a probability measure on X and θ : [0, ∞) → [0, ∞) be a convex
function such that θ(0) = 0. If µ verifies
 the transport-entropy inequality Tc ≤ H, then the
d(x,y)
couple (µ, c̃), with c̃(x, y) = 2θ 2 verifies the Property (τ ).

Proof. According to the dual formulation of the transport inequality Tc ≤ H, one has
Z R
eQc f dµ · e− f dµ ≤ 1

Applying this inequality with ±Qc f instead of f , one gets

Z R Z R
Qc (Qc f ) − Qc f dµ
e dµ · e ≤ 1 and eQc (−Qc f ) dµ · e Qc f dµ ≤ 1.

Multiplying these two inequalities yields to

Z Z
Qc (Qc f )
e dµ · eQc (−Qc f ) dµ ≤ 1.
 TRANSPORT INEQUALITIES 39

Now, for all x, y ∈ X , one has: −f (y) + Qc f (x) ≤ θ(d(x, y)), and consequently, −f ≤
Qc (−Qc f ). On the other hand, the convexity of θ easily yields
  
d(x, y)
Qc (Qc f )(x) ≤ inf f (y) + 2θ = Qc̃ f.
y∈X 2
This completes the proof. 

We refer to the works [95, 96] by Samson and [66] by Latala and Wojtaszczyk for recent
advances in the study of the Property (τ ).
In [96], Samson established different variants of the Property (τ ) in order to derive sharp
deviation results à la Talagrand for supremum of empirical processes.
In [66], Latala and Wojtaszczyk have considered a cost function naturally associated to a
probability µ on Rk . A symmetric probability measure µ is said to satisfy the inequality
IC(β)
 for some constant β > 0 if it verifies the Property (τ ) with the cost function c(x, y) =
Λµ x−y
∗
β , where Λ∗µ is the Cramér transform of µ defined by
 Z 
∗
Λµ (x) = sup x · y − log e dµ(u) , x ∈ Rk ,
u·y
y∈Rk

For many reasons, this corresponds to an optimal choice for c. They have shown that isotropic
log-concave distributions on R (mean equals zero and variance equals one) satisfy the in-
equality IC(48). They conjectured that isotropic log-concave distributions in all dimensions
verify the inequality IC(β) with a universal constant β. This conjecture is stronger than
the Kannan-Lovasz-Simonovits conjecture on the Poincaré constant of isotropic log-concave
distributions [62].

8.2. Definitions of the Poincaré and logarithmic Sobolev inequalities. Let µ ∈ P(X )
be a given probability measure and (Pt )t≥0 be the semigroup on L2 (µ) of a µ-reversible
Markov process (Xt )t≥0 . The generator of (Pt )t≥0 is L and its domain on L2 (µ) is D2 (L).
Define the Dirichlet form
E(g, g) := h−Lg, giµ , g ∈ D2 (L).
Under the assumptions that
(a) (Xt )t≥0 is µ-reversible,
(b) (Xt )t≥0 is µ-ergodic,
√
E is closable in L2 (µ) and its closure (E, D(E)) admits the domain D(E) = D2 ( −L) in L2 (µ).
Remark 8.4. About these assumptions.
(a) means that the semigroup (Pt )t≥0 is µ-symmetric.
(b) means that if f ∈ Bb (X ) satisfies Pt f = f, µ-a.e. for all t ≥ 0, then f is constant
µ-a.e.
Definition 8.5 (Fisher information and Donsker-Varadhan information).
(1) The Fisher information of f with respect to µ (and the generator L) is defined by
p p
Iµ (f ) = E( f , f )
40 NATHAEL GOZLAN, CHRISTIAN LÉONARD
√
for all f ≥ 0 such that f ∈ D(E).
(2) The Donsker-Varadhan information I(ν|µ) of the measure ν with respect to µ is
defined by
( √ √ √
E( f , f ) if ν = f µ ∈ P(X ), f ∈ D(E)
(37) I(ν|µ) =
+∞ otherwise

Example 8.6 (Standard situation). As a typical example, considering a probability measure

µ = e−V (x) dx with V of class C 1 on a complete connected Riemannian manifold X , one takes
(Xt )t≥0 to be the diffusion generated by
L = ∆ − ∇V · ∇
where ∆, ∇ are respectively the Laplacian and the gradient on X . The Markov process (Xt )t≥0
is µ-reversible and the corresponding Dirichlet form is given by
Z
E(g, g) = |∇g|2 dµ, g ∈ D(E) = H 1 (X , µ)
X
qR
where H 1 (X , µ) is the closure with respect to the norm 2 2
X (|g| + |∇g| ) dµ of the space of
infinitely differentiable functions on X with bounded derivatives of all orders. It also matches
with the space of these g ∈ L2 (X ) such that ∇g ∈ L2 (X → T X ; µ) in distribution.
Remark 8.7. The Fisher information in this example
Z p
(38) Iµ (f ) = |∇ f |2 dµ
X
differs from the usual Fisher information
Z
IF (f |µ) := |∇ log f |2 f dµ
Rk
by a multiplicative factor. Indeed, we have Iµ = IF /4. The reason for preferring Iµ to IF in
these notes is that I(·|µ) is the large deviation rate function of the occupation measure of
the Markov process (Xt )t≥0 as will be seen in Section 10.

Let us introduce the 1-homogenous extension of the relative entropy H:

Z Z Z
Entµ (f ) := f log f dµ − f dµ log f dµ,

for all nonnegative function f . The following relation holds:

Z  
fµ
Entµ (f ) = f dµ H R µ .
f dµ
R 2 R
As usual, Varµ (f ) := X f dµ − ( X f dµ)2 .
Definition 8.8 (General Poincaré and logarithmic Sobolev inequalities).
(1) A probability µ ∈ P(X ) is said to satisfy the Poincaré inequality with constant C if
Varµ (f ) ≤ CIµ (f 2 )
for any function f ∈ D(E).
 TRANSPORT INEQUALITIES 41

(2) A probability µ on X is said to satisfy the logarithmic Sobolev inequality with a con-
stant C > 0, if
H(f µ|µ) ≤ CI(f µ|µ)
+
holds for all f : X → R . Equivalently, µ verifies this inequality if
Entµ (f 2 ) ≤ CIµ (f 2 )
for any function f ∈ D(E).

In the special important case where L = ∆ − ∇V · ∇, the Fisher information is given by

(38) and we say that the corresponding Poincaré and logarithmic Sobolev inequalities are
usual.
Definition 8.9 (Usual Poincaré and logarithmic Sobolev inequalities, P(C) and LS(C)).
(1) A probability µ ∈ P(X ) is said to satisfy the (usual) Poincaré inequality with constant
C, P(C) for short, if Z
Varµ (f ) ≤ C |∇f |2 dµ
for any function smooth enough function f.
(2) A probability µ on X is said to satisfy the (usual) logarithmic Sobolev inequality with
a constant C > 0, LS(C) for short, if
Z
(39) Entµ (f 2 ) ≤ C |∇f |2 dµ

for any function smooth enough function f.

Remark 8.10 (Spectral gap). The Poincaré inequality P(C) can be made precise by means
of the Dirichlet form E :
Varµ (f ) ≤ C E(f, f ), f ∈ D2 (L)
for some finite C ≥ 0. The best constant C in the above Poincaré inequality is the inverse of
the spectral gap of L.

8.3. Links with Poincaré inequalities. We noticed in Section 1 that T2 is stronger than
T1 . The subsequent proposition enables us to make precise the gap between these two
inequalities.
Proposition 8.11. Let µ be a probability measure on Rk and d be the Euclidean distance ;
if µ verifies the inequality Tθ(d) ≤ H with a function θ(t) ≥ t2 /C near 0 with C > 0, then µ
verifies the Poincaré inequality P(C/2).

So in particular, T2 implies Poincaré inequality with the constant C/2, while T1 doesn’t
imply it. The result above was established by Otto and Villani in [89]. Below is a proof using
the Hamilton-Jacobi semigroup.
R
Proof.
R
According to Corollary 3.3, for all bounded continuous function f : Rk → R, eRf dµ ≤
e f dµ , where Rf (x) = inf y∈Rk {f (y)+θ(|x−y|2 )}. For all t > 0, define Rt f (x) = inf y∈Rk {f (y)+
1 2
t θ(|y − x|2 )}. Suppose that θ(u) ≥ u /C, for all 0 ≤ u ≤ r, for some r > 0. If M > 0, is
such that |f (x)| ≤ M for all x ∈ Rk , then it is not difficult to see that the infimum in the
42 NATHAEL GOZLAN, CHRISTIAN LÉONARD

definition of Rt f (x) is attained in the ball of center x and radius r as soon as t ≤ θ(r)/(2M ).
So, for all t ≤ θ(r)/(2M ),
1 1
Rt f (x) = inf {f (y) + θ(|y − x|2 )} ≥ inf {f (y) + |y − x|22 } ≥ Qt f (x),
|y−x|≤r t |y−x|≤r Ct
1
with Qt f (x) = inf y∈Rk {f (y) + tC |x − y|22 }, t > 0. Consequently, the inequality
Z R
(40) etQt f dµ ≤ et f dµ

holds for all t ≥ 0 small enough.

If f is smooth enough (say of class C 2 ), then defining Q0 f = f , the function (t, x) 7→ Qt f (x)
is solution of the Hamilton-Jacobi partial differential equation :
 ∂u C 2 k
(41) ∂t (t, x) + 4 |∇x u| (t, x) = 0, t ≥ 0, x ∈ R
u(0, x) = f, x∈R k

(see for example [104, Theorem 22.46]).

So if f is smooth enough, it is not difficult to see that
Z Z Z Z 
tQt f t2 2 C
e dµ = 1 + t f dµ + f dµ − |∇f | dµ + o(t2 ).
2
2 2
R
So (40) implies that Varµ (f ) ≤ C2 |∇f |2 dµ, which completes the proof. 

8.4. Around Otto-Villani theorem. We now present the famous Otto-Villani theorem
and its generalizations.
Theorem 8.12 (Otto-Villani). Let µ be a probability measure on Rk . If µ verifies the
logarithmic Sobolev inequality LS(C) with a constant C > 0, then it verifies the inequality
then T2 (C).

Let us mention that Otto-Villani theorem is also true on a Riemannian manifold. This
result was conjectured by Bobkov and Götze in [17] and first proved by Otto and Villani
in [89]. The proof by Otto and Villani was a rather sophisticated combination of optimal
transport and partial differential equation results. It was adapted to other situations (in
particular to path spaces) by Wang in [107, 110, 109]. Soon after [89], Bobkov, Gentil and
Ledoux have proposed in [16] a much more elementary proof relying on simple computations
on the Hamilton-Jacobi semigroup. This approach is at the origin of many subsequent
developments (see for instance [48], [47], [25], [73] or [54]). In [52], Gozlan gives yet another
proof which is build on the characterization of dimension-free Gaussian concentration exposed
in Corollary 5.5. It is very robust and works as well if Rk is replaced by an (almost) arbitrary
polish space (see [52, Theorems 4.9 and 4.10]).

First proof of Theorem 8.12 following [16]. In this proof we explain the Hamilton-Jacobi method
of Bobkov, Gentil and Ledoux. Consider the semigroup Qt defined for all bounded function
f by  
1 2
Qt f (x) = inf f (y) + |x − y| , t > 0, Q0 f = f.
y∈Rk Ct
If f is smooth enough, (t, x) 7→ Qt f (x) solves the Hamilton-Jacobi equation (41).
 TRANSPORT INEQUALITIES 43

According to (39), and (41)

(42) Z Z
Ct2 ∂Qt f
Entµ (etQt f ) ≤ |∇x Qt f |2 (t, x)etQt f (t,x) dµ(x) = −t2 (t, x)etQt f (t,x) dµ(x).
4 ∂t
R
Let Zt = etQt f (t,x) dµ(x), t ≥ 0 ; then
Z Z
′ tQt f (t,x) ∂Qt f
Zt = Qt f (t, x)e dµ(x) + t (t, x)etQt f (t,x) dµ(x).
∂t
Consequently,
Z Z Z
tQt f tQt f (t,x) tQt f (t,x)
Entµ (e ) = t Qt f (t, x)e dµ(x) − e dµ(x) log etQt f (t,x) dµ(x)
Z
∂Qt f
= tZt′ − Zt log Zt − t2 (t, x)etQt f (t,x) dµ(x).
∂t
This together with (42), yields tZt′ − Zt log Zt ≤ 0 for all t ≥ 0. In other words, the function
t 7→ logtZt is decreasing on (0, +∞). As a result,
Z Z
Q1 f log Zt
log Z1 = log e dµ ≤ lim = f dµ,
t→0 t
which is Bobkov-Götze dual version of T2 (C) stated in Corollary 3.3. 

Second proof of Theorem 8.12 following [52]. Now let us explain how to use concentration
to prove Otto-Villani theorem.R First let us recall the famous Herbst argument. Take g a
1-Lipschitz tg/2 , with t ≥ 0; then letting
R tg function such that g dµ = 0 and apply (39) to f = e
Zt = e dµ, one gets
Z
Ct2 C
Zt′ − Zt log Zt ≤ |∇g|2 etg dµ ≤ t2 Zt , t > 0
4 4
where the inequality follows from the fact that g is 1-Lipschitz. In other word,
 
d log Zt C
≤ , t > 0.
dt t 4
log Zt
Since t → 0 when t → 0, integrating the inequality above yields
Z
C 2
etg dµ ≤ e 4 t , t > 0.

Since this holds for all centered and 1-Lipschitz function g, one concludes from Corollary 3.4
that µ verifies the inequality T1 (C) on (Rk , | · |2 ).
The next step is a tensorization argument. Let us recall that the logarithmic Sobolev
inequality enjoys the following well known tensorization property : if µ verifies LS(C) on
Rk ,
then for all positive integer n, the product probability measure µn satisfies LS(C) on
n
Rk . As a consequence, the argument above shows that for all positive integer n, µn

n

verifies the inequality T1 (C) on Rk , | · |2 . According to Marton’s argument (Theorem

n
4.2), there is some constant K > 0 such that for all positive integer n and all A ⊂ Rk ,
with µn (A) ≥ 1/2, it holds
2
µn (Ar ) ≥ 1 − Ke−Cr , r ≥ 0.
44 NATHAEL GOZLAN, CHRISTIAN LÉONARD

The final step is given by Corollary 5.5 : this dimension-free Gaussian concentration inequal-
ity implies T2 (C) and this completes the proof. 

Otto-Villani theorem admits the following natural extension which appears in [16] and [47,
Theorem 2.10].
For all p ∈ [1, 2], define θp (x) = x2 if |x| ≤ 1 and p2 xp + 1 − 2
p if |x| ≥ 1.

Theorem 8.13. Suppose that a probability µ on Rk verifies the following modified logarithmic
Sobolev inequality
Z X k  
2 ∗ ∂f 1
Entµ (f ) ≤ C1 θp f 2 dµ,
∂xi f
i=1
for all f : Rk
→ R smooth enough, where ∗
θp is
the convex conjugate of θp . Then there is a
constant C2 such that µ verifies the transport-entropy inequality Tθp (| · |2 ) ≤ C2 H.

The theorem above is stated in a very lazy way ; the relation between C1 and C2 is made
clear in [47, Theorem 2.10].

Sketch of proof. We shall only indicate that two proofs can be made. The first one uses the
following Hamilton Jacobi semigroup
( k  )
X y i − xi
Qt f (x) = inf f (y) + t θp ,
y∈Rk t
i=1
which solves the following Hamilton-Jacobi equation
( Pk  
∂u ∗ ∂u (t, x) = 0, t ≥ 0, x ∈ Rk
∂t (t, x) + θ
i=1 p ∂xi
u(0, x) = f, x ∈ Rk
The second proof uses concentration : according to a result by Barthe and Roberto [10, The-
orem 27], the modified logarithmic Sobolev inequality

n implies
P dimension-free concentration
for the enlargement enlθp (A, r) = {x ∈ Rk ; inf y∈A ni=1 θp (|x − y|2 ) ≤ r} and accord-
ing to Theorem 5.4, this concentration property implies the transport-entropy inequality
Tθp (|·|2) ≤ CH, for some C > 0. 

The case p = 1 is particularly interesting ; namely according to a result by Bobkov

and Ledoux, the modified logarithmic Sobolev inequality with the function θ1 is equivalent
to Poincaré inequality (see [19, Theorem 3.1] for a precise statement). Consequently, the
following results holds
Corollary 8.14. Let µ be a probability measure on Rk ; the following propositions are equiv-
alent:
(1) The probability µ verifies Poincaré inequality for some constant C > 0;
(2) The probability µ verifies the transport-entropy inequality Tc ≤ H, with a cost function
of the form c(x, y) = θ1 (a|x − y|2 ), for some a > 0.
1
Moreover the constants are related as follows: (1) implies (2) with a = τ
√
C
, where τ is some
1
universal constant and (2) implies (1) with C = 2a2 .
 TRANSPORT INEQUALITIES 45

Again a precise result can be found in [16, Corollary 5.1].

Let us recall that µ is said to satisfy a super-Poincaré inequality if there is a decreasing
function β : [1, +∞) → [0, ∞) such that
Z Z Z 2
2 2
f dµ ≤ β(s) |∇f | dµ + s |f | dµ , s ≥ 1

holds true for all sufficiently smooth f . This class of functional inequalities was introduced
by Wang in [106] with applications in spectral theory. Many functional inequalities (Beckner-
Latala-Oleszkiewicz inequalities for instance [65, 108]) can be represented as a super-Poincaré
inequality for a specific choice of the function β. Recently efforts have been made to see which
transport-entropy inequalities can be derived from super-Poincaré inequalities. We refer to
Wang [109, Theorem 1.1] (in a Riemannian setting) and Gozlan [51, Theorem 5.4] for these
very general extensions of Otto-Villani theorem.

8.5. T2 and LS under curvature assumptions. In [89], Otto and Villani proved that
the logarithmic Sobolev inequality was sometimes implied by the inequality T2 . The key
argument for this converse is the so called HWI inequality (see [89, Theorem 3] or Corollary
7.4 of the present paper) which is recalled below. If µ is an absolutely continuous probability
measure with a density of the form dµ(x) = e−V (x) dx, with V of class C 2 on Rk and such
that Hess V ≥ κId, with κ ∈ R, then for all probability measure ν on Rk having a smooth
density with respect to µ,
p κ
(43) H(ν|µ) ≤ 2W2 (ν, µ) I(ν|µ) − W22 (ν, µ),
2
where I(·|µ) is the Donsker-Varadhan information.
Proposition 8.15. Let dµ(x) = e−V (x) dx, with V of class C 2 on Rk and such that Hess V ≥
κId, with κ ≤ 0; if µ verifies
 the inequality T2 (C), with C < −2/κ, then it verifies the
4C
inequality LS (1+κC/2)2 . In particular, when V is convex then µ verifies LS(4C).

Proof. Applying (43) together with the assumed T2 (C) inequality, yields
p p κC
H(ν|µ) ≤ 2 CH(ν|µ) I(ν|µ) − H(ν|µ),
2
for all ν. Thus, if 1 + κC 4C 2
2 > 0, one has H(ν|µ) ≤ (1+ κC )2 I(ν|µ). Taking dν(x) = f (x) dx
2
with a smooth f yields Z
4C
Entµ (f 2 ) ≤ 2

2 |∇f | dµ,
1 + κC
2
which completes the proof. 

So in the range C + 2/κ < 0, T2 and LS are equivalent. In fact under the condition
Hess V ≥ κ, a strong enough Gaussian concentration property implies the logarithmic Sobolev
inequality, as shown in the following theorem by Wang [105].
Theorem 8.16. Let dµ(x) = e−V (x) dx, with V of class C 2 on Rk and such that Hess V ≥ κId,
R 1 2
with κ ≤ 0; if there is some C < −2/κ, such that e C d (xo ,x) dµ(x) is finite, for some (and
thus all) point xo , then µ verifies the logarithmic Sobolev inequality for some constant C̃.
46 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Recently Barthe and Kolesnikov have generalized Wang’s theorem to different functional
inequalities and other convexity defects [8]. Their proofs rely on Theorem 7.1. A drawback
of Theorem 8.16 is that the constant C̃ depends too heavily on the dimension k. In a series
of papers [87, 86, 85], E. Milman has shown that under curvature conditions concentration
inequalities and isoperimetric inequalities are in fact equivalent with a dimension-free control
of constants. Let us state a simple corollary of Milman’s results.
Corollary 8.17. Let dµ(x) = e−V (x) dx, with V of class C 2 on Rk and such that Hess V ≥
κId, with κ ≤ 0; if there is some C < −2/κ and M > 1, such that µ verifies the following
Gaussian concentration inequality
1 2
(44) µ(Ar ) ≥ 1 − M e− C r , r≥0
for all A such that µ(A) ≥ 1/2 and with Ar = {x ∈ Rk ; ∃y ∈ A, |x − y|2 ≤ r}, then µ verifies
the logarithmic Sobolev inequality with a constant C̃ depending only on C, κ and M . In
particular, the constant C̃ is independent on the dimension k of the space.

The conclusion of the preceding results is that when C + 2/κ < 0, it holds
LS(C) ⇒ T2 (C) ⇒ Gaussian concentration (44) with constant 1/C ⇒ LS(C̃),
and so these three inequalities are qualitatively equivalent in this range of parameters. Nev-
ertheless, the equivalence between LS and T2 is no longer true when Hess V is unbounded
from below. In [25], Cattiaux and Guillin were able to give an example of a probability µ on
R verifying T2 , but not LS. Cattiaux and Guillin’s counterexample is discussed in Theorem
9.5 below.

8.6. A refined version of Otto-Villani theorem. We close this section with a recent
result by Gozlan, Roberto and Samson [54] which completes the picture showing that T2
(and in fact many other transport-entropy inequalities) is equivalent to a logarithmic Sobolev
inequality restricted to a subclass of functions.
Let us say that a function f : Rk → R is λ-semiconvex, λ ≥ 0, if the function x 7→
f (x) + λ2 |x|2 is convex. If f is C 2 this is equivalent to the condition Hess f (x) ≥ −λId.
Moreover, if f is λ-semiconvex, it is almost everywhere differentiable, and for all x where
∇f (x) is well defined, one has
λ
f (y) ≥ f (x) + ∇f (x) · (y − x) − |y − x|2 .
2
for all y ∈ Rk .
Theorem 8.18. Let µ be a probability measure on Rk . The following propositions are equiv-
alent:
(1) There exists C1 > 0 such that µ verify the inequality T2 (C1 ).
(2) There exists C2 > 0 such that for all 0 ≤ λ < C22 and all λ-semiconvex f : Rk → R,
Z
f C2 2 f
Entµ (e ) ≤  2 |∇f | e dµ.
λC2
1− 2
 TRANSPORT INEQUALITIES 47

The constants C1 and C2 are related in the following way:

(1) ⇒ (2) with C2 = C1 .
(2) ⇒ (1) with C1 = 8C2 .

More general results can be found in [54, Theorem 1.8]. Let us emphasize the main
difference between this theorem and Proposition 8.15 : in the result above the curvature
assumption is made on the functions f and not on the potential V . A nice corollary of
Theorem 8.18, is the following perturbation result:
Theorem 8.19. Let µ be a probability measure on Rk and consider dµ̃(x) = eϕ(x) dx, where
ϕ : Rk → R is bounded. If µ verifies T2 (C), then µ̃ verifies T2 (8eOsc(ϕ) C), where Osc(ϕ) =
sup ϕ − inf ϕ.

Many functional inequalities of Sobolev type enjoy the same bounded perturbation prop-
erty (without the factor 8). For the Poincaré inequality or the logarithmic Sobolev inequality,
the proof (due to Holley and Stroock) is almost straightforward (see e.g [2, Theorems 3.4.1
and 3.4.3]). For transport-entropy inequalities, the question of the perturbation was raised
in [89] and remained open for a long time. The proof of Theorem 8.19 relies on the rep-
resentation of T2 as a restricted logarithmic Sobolev inequality provided by Theorem 8.18.
Contrary to Sobolev type inequalities, no direct proof of Theorem 8.19 is known.

9. Workable sufficient conditions for transport-entropy inequalities

In this section, we review some of the known sufficient conditions on V : Rk → R under

which dµ = e−V dx verifies a transport-entropy inequality of the form Tθ(d) ≤ H. Unlike
Section 7, the potential V is not supposed to be (uniformly) convex.

9.1. Cattiaux and Guillin’s restricted

R ε|x|2 logarithmic Sobolev method. Let µ be a prob-
k
ability measure on R such that e dµ(x) < +∞, for some ε > 0. Following Cattiaux
and Guillin in [25], let us say that µ verifies the restricted logarithmic Sobolev inequality
rLS(C, η) if Z
Entµ (f 2 ) ≤ C |∇f |2 dµ,

for all smooth f : Rk → R such that

Z  R
2 2 2
f (x) ≤ f dµ eη|xo −x| + |xo −y| dµ(y) ,
2
x ∈ Rk .

Using Bobkov-Gentil-Ledoux proof of Otto-Villani theorem, Cattiaux and Guillin obtained

the following result (see [25, Theorem 1.17]).
R 2
Theorem 9.1. Let µ be a probability measure on Rk such that eε|x| dµ(x) < +∞, for some
ε > 0. If the restricted logarithmic Sobolev inequality rLS(C, η) holds for some η < ε/2, then
µ verifies the inequality T2 (C̃), for some C̃ > 0.

The interest of this theorem is that the restricted logarithmic Sobolev inequality above is
strictly weaker than the usual one. Moreover, workable sufficient conditions for the rLS can
be given. Let us start with the case of the real axis.
48 NATHAEL GOZLAN, CHRISTIAN LÉONARD
R 2
Theorem 9.2. Let dµ(x) = e−V (x) dx be a probability measure on R with eε|x| dµ(x) < +∞
for some ε > 0. If µ is such that
Z +∞ Z x Z x Z 0
+ 2 −V (t) V (t) − 2 −V (t)
A = sup t e dt e dt and A = sup t e dt eV (t) dt
x≥0 x 0 x≤0 −∞ x

are finite then µ verifies rLS(C, η), for some C, η > 0 and so it verifies also T2 (C̃) for some
C̃ > 0.

The finiteness of A+ and A− can be determined using the following proposition (see [25,
Proposition 5.5]).
Proposition 9.3. Suppose that dµ(x) = e−V (x) dx be a probability measure on R with V of
′′
class C 2 such that (VV ′ )2 (x) → 0 when x → ∞. If V verifies
x
(45) lim sup ′ (x)
< +∞,
x→±∞ V
R 2
then A+ and A− are finite (and there is ε > 0 such that eε|x| dµ(x) < +∞).
′′
The condition (VV ′ )2 (x) → 0 when x → ∞ is not very restrictive and appears very often in
results of this type (see [2, Corollary 6.4.2 and Theorem 6.4.3] for instance).
Now let us recall the following result by Bobkov and Götze (see [17, Theorem 5.3] and [2,
Theorems 6.3.4 and 6.4.3]) dealing this time with the logarithmic Sobolev inequality.
Theorem 9.4. Let dµ(x) = e−V (x) dx be a probability measure on R, and m a median of µ.
If V is such that
Z x !Z
m
1
D − = sup e−V (t) dt log R x −V (t) eV (t) dt
x<m −∞ −∞ e dt x
Z +∞ !Z
x
1
D + = sup e−V (t) dt log R +∞ eV (t) dt
x>m x e −V (t) dt m
x

are finite, then µ verifies the logarithmic Sobolev inequality, and the optimal constant Copt
verifies
τ1 max(D − , D + ) ≤ Copt ≤ τ2 max(D − , D + ),
where τ1 and τ2 are known universal constants.
V ′′
Moreover if V is of class C 2 and verifies limx→∞ (V ′ )2 (x) = 0, then D − and D + are finite
if and only if V verifies the following conditions:
V (x)
lim inf |V ′ (x)| > 0 and lim sup < +∞
x→∞ x→∞ (V ′ )2 (x)
Theorem 9.5 (Cattiaux-Guillin’s counterexample). The probability measure dµ(x) = Z1 e−V (x) dx
defined on R with V (x) = |x|3 + 3x2 sin2 x + |x|β , with Z a normalizing constant and
2 < β < 5/2 satisfies the inequality T2 but not the logarithmic Sobolev inequality.
 TRANSPORT INEQUALITIES 49

Proof. For all x > 0,

V ′ (x) = 3x2 + 6x sin2 x + 6x2 cos x sin x + βxβ−1
= 3x2 (1 + cos 2x) + 6x sin2 x + βxβ−1 .
and
V ′′ (x) = 6x2 cos 2x + 6x(1 + 2 sin 2x) + 6 sin2 x + β(β − 1)xβ−2 .

First, observe that V ′ (x) > 0 for all x > 0 and V ′ (x) → ∞ when x → +∞. Moreover, for x
′′ x2
large enough, VV ′2 (x) ≤ D x2β−2 , and 0 ≤ Vx′ ≤ D xβ−1
x
, for some numerical constant D > 0.
′′
Since, β > 2, it follows that VV ′2 (x) → 0, and V ′x(x) → 0 when x → +∞. Consequently,
it follows from Proposition 9.3, that µ verifies T2 (C), for some C > 0. On the other hand,
consider the sequence xk = π4 +kπ, then V ′2 (xk ) = (6xk +βxkβ−1 )2 ∼ β 2 (πk)2β−2 and V (xk ) ∼
(kπ)3 . So VV′2(x(xk )) ∼ β 2 (πk)5−2β , and since β < 5/2, one concludes that lim supx→+∞ VV′2 (x) =
k
+∞. According to Theorem 9.4, it follows that µ does not verify the logarithmic- Sobolev
inequality. 

Recently, Cattiaux, Guillin and Wu have obtained in [26] different sufficient conditions for
the restricted logarithmic Sobolev inequality rLS in dimension k ≥ 1.
Theorem 9.6. Let µ be a probabilikty measure on Rk with a density of the form dµ(x) =
e−V (x) dx, with V : Rk → R of class C 2 . If one of the following conditions
∃a < 1, R, c > 0, such that ∀|x| > R, (1 − a)|∇V (x)|2 − ∆V (x) ≥ c|x|2
or
∃R, c > 0, such that ∀|x| > R, x · ∇V (x) ≥ c|x|2
is satisfied, then rLS holds.

We refer to [26, Corollary 2.1] for a proof relying on the so called Lyapunov functions
method.

9.2. Contraction methods. In [50], Gozlan recovered Cattiaux and Guillin’s sufficient con-
dition (45) for T2 and extended it to other transport-entropy inequalities on the real axis.
The proof relies on a simple contraction argument, we shall now explain it in a general setting.

Contraction of transport-entropy inequalities. In the sequel, X and Y will be polish spaces.

If µ is a probability measure on X and T : X → Y is a measurable map, the image of µ under
T will be denoted by T# µ; by definition, it is the probability measure on Y defined by


T# µ(A) = µ T −1 (A) ,
for all measurable subset A of Y .
The result below shows that if µ verifies a transport-entropy inequality on X then the
image T# µ verifies verifies a transport-entropy inequality on Y with a new cost function
expressed in terms on T .
50 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Theorem 9.7. Let µo be a probability measure on X and T : X → Y be a measurable

bijection. If µo satisfies the transport-entropy inequality α(Tc ) ≤ H with a cost function c on
X , then T# µo satisfies the transport-entropy inequality α(TcT ) ≤ H with the cost function cT
defined on Y by
cT (y1 , y2 ) = c(T −1 y1 , T −1 y2 ), y1 , y2 ∈ Y.

Proof. Let us define Q(y1 , y2 ) = (T −1 y1 , T −1 y2 ), y1 , y2 ∈ Y, and µ1 = T# µo . Let ν ∈ P(Y)

and take π ∈ Π(ν, µ1 ), the subset of P(Y 2
R T ) consisting ofR the probability π with their marginal
measures π0 = ν and π1 = µ1 . Then c (y1 , y2 ) dπ = c(x, y) dQ# π, so
Z
TcT (ν, µ1 ) = inf c(x, y)dπ.
π∈Q# Π(ν,µ1 )

But it is easily seen that Q# Π(ν, µ1 ) = Π(T −1 # ν, µo ). Consequently

TcT (ν, µ1 ) = Tc (T −1 # ν, µo ).
Since µo satisfies the transport-entropy inequality α(Tc ) ≤ H, it holds


α Tc (T −1 # ν, µo ) ≤ H(T −1 # ν|µo ).
But it is easy to check , with Proposition B.1 and the fact that T is one-one, that
H(T −1 # ν|µo ) = H(ν|T# µo ).
Hence
α (TcT (ν, µ1 )) ≤ H(ν|µ1 ),
for all ν ∈ P(Y ). 
Remark 9.8. This contraction property was first observed by Maurey (see [82, Lemma 2])
in the context of inf-convolution inequalities. Theorem 9.7 is a simple but powerful tool to
derive new transport-entropy inequalities from already known ones.

Sufficient conditions on R. Let us recall that a probability measure µ on R is said to satisfy

Cheeger inequality with the constant λ > 0 if
Z Z
(46) |f (x) − m(f )| dµ(x) ≤ λ |f ′ (x)| dµ(x),

for all f : R → R sufficiently smooth, where m(f ) denotes a median of f under µ.

Using the contraction argument presented above, Gozlan obtained the following theorem
([50, Theorem 2]).

Theorem 9.9. Let θ : [0, ∞) → [0, ∞) be such that θ(t) = t2 for all t ∈ [0, 1], t 7→ θ(t) t
is increasing and supt>0 θ(2t)
θ(t) < +∞ and let µ be a probability measure on R which verifies
Cheeger inequality for some λo > 0. The following propositions are equivalent :
(1) The probability measure µ verifies the transport cost inequality Tθ ≤ CH, for some
C > 0.
 TRANSPORT INEQUALITIES 51

(2) The constants K + (ε) and K − (ε) defined by

R +∞ εθ(u−x) R x εθ(x−u)
e dµ(u) e dµ(u)
K + (ε) = sup x and K − (ε) = sup −∞
x≥m µ[x, +∞) x≤m µ(−∞, x]
are finite for some ε > 0, where m denotes the median of µ.

The condition K + and K − finite is always necessary to have the transport-entropy inequal-
ity (see [50, Corollary 15]). This condition is sufficient if Cheeger inequality holds. Cheeger
inequality is slightly stronger than Poincaré inequality. On the other hand transport-entropy
inequalities of the form Tθ ≤ H, with a function θ as above, imply Poincaré inequality
(Theorem 8.11). So Theorem 9.9 offers a characterization of transport-entropy inequalities
except perhaps on the “small” set of probability measures verifying Poincaré but not Cheeger
inequality.

Sketch of proof. We will only prove the sufficiency of the condition K + and K − finite.
Moreover, to avoid technical difficulties, we shall only consider the case θ(t) = t2 . Let
dµo (x) = 21 e−|x| dx be the two-sided exponential measure on R. According to a result by
Talagrand [102] the probability µo verifies the transport-entropy inequality Tco ≤ Co H, with
the cost function co (x, y) = min(|x − y|2 , |x − y|), for some Co > 0.
Consider the cumulative distribution functions of µ and µo defined by F (x) = µ(−∞, x]
and Fo (x) = µo (−∞, x], x ∈ R. The monotone rearrangement map T : R → R defined by
T (x) = F −1 ◦ Fo , see (23), transports the probability µo onto the probability µ : T# µo = µ.
Consequently, by application of the contraction Theorem 9.7, the probability µ verifies the
transport-cost inequality TcTo ≤ Co H, with cTo (x − y) = co (T −1 (x) − T −1 (y)). So, all we have
to do is to show that there is some constant a > 0 such that co (T −1 (x)−T −1 (y)) ≥ a12 |x−y|2 ,
for all x, y ∈ R. This condition is equivalent to the following
|T (x) − T (y)| ≤ a min(|x − y|, |x − y|1/2 ), x, y ∈ R.
In other words, we have to show that T is a-Lipschitz and a-Hölder of order 1/2.
According to a result by Bobkov and Houdré, µ verifies Cheeger inequality (46) with the
constant λo if and only if T is λo -Lipschitz (see [18, Theorem 1.3]).
To√deal with the Hölder condition, observe that if T is a-Hölder on [0, ∞) and on R− , then
it is 2a-Hölder on R. Let us treat the case of [0, ∞), the other case being similar. The
condition T is a-Hölder on [0, ∞) is equivalent to
u2
T −1 (x + u) − T −1 (x) ≥
, x ≥ m, u ≥ 0.
a2
But a simple computation gives : T −1 (x) = − log(2(1−F (x))), for all x ≥ m. So the condition
above reads
1 − F (x + u) u2
(47) ≤ e− a2 , x ≥ m, u ≥ 0.
1 − F (x)
R +∞ 2
eε(u−x) dµ(u)
Since, K + (ε) = supx≥m x
µ[x,+∞) is finite, an application of Markov inequality yields
1 − F (x + u) 2
≤ K + (ε)e−εu , x ≥ m, u ≥ 0.
1 − F (x)
52 NATHAEL GOZLAN, CHRISTIAN LÉONARD

On the other hand the Lipschitz continuity of T can be written

1 − F (x + u) u
≤ e− λo , x ≥ m, u ≥ 0.
1 − F (x)
2
 
So, if a > 0 is chosen so that ua2 ≤ max λuo , εu2 − log K + (ε) , then (47) holds and this
completes the proof. 

The following corollary gives a concrete criterion to decide whether a probability measure
on R verifies a given transport-entropy inequality. It can be deduced from Theorem 9.9
thanks to an estimation of the integrals defining K + and K − . We refer to [50] for this
technical proof.
Corollary 9.10. Let θ : [0, ∞) → [0, ∞) of class C 2 be as in Theorem 9.9 and let µ be a
probability measure on R with a density of the form dµ(x) = e−V (x) dx, with V of class C 2 .
′′ ′′
Suppose that θθ′2 (x) → 0 and VV ′2 (x) → 0 when x → ∞. If there is some a > 0 such that
θ ′ (a|x|)
lim sup′
< +∞,
x→±∞ |V (m + x)|
with m the median of µ, then µ verifies the transport-entropy inequality Tθ ≤ CH, for some
C > 0.

Note that this corollary generalizes Cattiaux and Guillin’s condition (45).

Poincaré inequalities for non-Euclidean metrics. Our aim is now to partially generalize to
the multidimensional case the approach explained in the preceding section. The two main
ingredients of the proof of Theorem 9.9 were the following :
• The fact that dµo (x) = 12 e−|x| dx verifies the transport-entropy inequality Tc ≤ CH
with the cost function c(x, y) = min(|x − y|2 , |x − y|). Let us define the cost function
c1 (x, y) = min(|x− y|2 , |x− y|22 ) on Rk equipped with its Euclidean distance. We have
seen in Corollary 8.14 that a probability measure on Rk verifies the transport-entropy
inequality Tc1 ≤ C1 H for some C1 > 0 if and only if it verifies Poincaré inequality
with a constant C2 > 0 related to C1 .
• The fact that the application T sending µo on µ was both Lipschitz and 1/2-Hölder.
Consequently, the application ω = T −1 which maps µ on µo , behaves like x for small
values of x and like x2 for large values of x.
So we can combine the two ingredients above by saying that“the image of µ by an application
ω which resembles ± max(|x|, |x|2 ) verifies Poincaré inequality.” It appears that this gets well
in higher dimension and gives a powerful way to prove transport-entropy inequalities.
Let us introduce some notation. In the sequel, ω : R → R will denote an application such
that x 7→ ω(x)/x is increasing on (0, +∞), ω(x) ≥ 0 for all x ≥ 0, and ω(−x) = −ω(x) for
all x ∈ R. It will be convenient to keep the notation ω to denote the application Rk → Rk :
(x1 , . . . , xk ) 7→ (ω(x1 ), . . . , ω(xk )). We will consider the metric dω defined on Rk by
v
u k
uX
ω d (x, y) = |ω(x) − ω(y)| = t
2 i |ω(x ) − ω(y )|2 , x, y ∈ Rk .
i
i=1
 TRANSPORT INEQUALITIES 53

Theorem 9.11. Let µ be a probability measure on Rk . The following statements are equiv-
alent.
(1) The probability µ̃ = ω# µ verifies Poincaré inequality with the constant C:
Z
Varµ̃ (f ) ≤ C |∇f |22 dµ̃,

for all f : Rk → R smooth enough.

(2) The probability µ verifies the following weighted Poincaré inequality with the constant
C > 0:
Z X k  2
1 ∂f
(48) Varµ (f ) ≤ C (x) dµ(x),
ω ′ (xi )2 ∂xi
i=1

for all f : Rk → R smooth enough.

(3) The probability µ verifies the transport-entropy inequality Tc ≤ H, with the cost func-
tion c(x, y) = θ1 (adω (x, y)) for some a > 0, with θ1 (t) = min(t2 , t), t ≥ 0. More
precisely,
Z


(49) inf min a2 |ω(x) − ω(y)|22 , a|ω(x) − ω(y)|2 dπ(x, y) ≤ H(ν|µ),
π:π0 =ν,π1 =µ Rk ×Rk

for all ν ∈ P(Rk ).

1
The constants C and a are related in the following way: (1) implies (3) with a = τ
√
C
, where
1
τ is a universal constant, and (3) implies (1) with C = 2a2 .

Proof. The equivalence between (1) and (2) is straightforward.

Let us show that (1) implies (3). Indeed, according to Corollary 8.14, µ̃ verifies the transport-
entropy inequality Tc̃ ≤ H with c̃(x, y) = θ1 (a|x−y|2 ), and a = τ √1 C . Consequently, according
to the contraction Theorem 9.7, µ which is the image of µ̃ under the map ω −1 verifies the
transport-entropy inequality Tc ≤ H where c(x, y) = c̃(ω(x), ω(y)) = θ1 (adω (x, y)). The proof
of the converse is similar. 
Definition 9.12. When µ verifies (48), one says that the inequality P(ω, C) holds.
Remark 9.13. If f : Rk → R let us denote by |∇f |ω (x) the “length of the gradient” of f at
point x with respect to the metric dω defined above. By definition,
|f (y) − f (x)|
|∇f |ω (x) = lim sup , x ∈ Rk .
y→x dω (x, y)
It is not difficult to see that µ verifies the inequality P(ω, C) if and only if it verifies the
following Poincaré inequality
Z
Varµ (f ) ≤ C |∇f |2ω dµ,

for all f smooth enough. So, the inequality P(ω, · ) is a true Poincaré inequality for the
non-Euclidean metric dω .
54 NATHAEL GOZLAN, CHRISTIAN LÉONARD

So according to Theorem 9.11, the Poincaré inequality (48) is qualitatively equivalent to

the transport cost inequality (49). Those transport-entropy inequalities are rather unusual,
but can be compared to more classical transport-entropy inequalities using the following
proposition.
Proposition 9.14. The following inequality holds
  k  
a X |xi − yi |
(50) θ1 (adω (x, y)) ≥ θ1 √ θ1 ◦ ω , x, y ∈ Rk .
k i=1 2

We skip the technical proof of this inequality and refer to [51, Lemma 2.6 and Proof of
Proposition 4.2]. Let us emphasize an important particular case. In the sequel, ω2 : R → R
will be the function defined by ω2 (x) = max(x, x2 ), for all x ≥ 0 and such that ω2 (−x) =
−ω2 (x), for all x ∈ R.
Corollary 9.15. If a probability measure µ on k
√ R verifies the inequality P(ω2 , C) for some
C > 0 then it verifies the inequality T2 (4ω2 (τ kC)), where τ is some universal constant.

In other words, a sufficient condition for µ to verify T2 is that the image of µ under the
map ω2 verifies Poincaré inequality. We do not know if this condition is also necessary.

Proof. According to Theorem 9.11, if µ verifies P(ω2 , C) then it verifies the transport-entropy
inequality Tc ≤ H with the cost function c(x, y) = θ1 (adω2 (x, y)), with a = τ √1 C . According
to (50), one has
 
 X
k   θ √ 1
a |xi − yi | 1 τ kC
θ1 (adω2 (x, y)) ≥ θ1 √ θ1 ◦ ω2 = |x − y|22 ,
k 2 4
i=1
1
since θ1 ◦ ω2 (t) = t2 , for all t ∈ R. Observing that θ1 (1/t) = ω2 (t), t > 0, one concludes that
√
µ verifies the inequality T2 (4ω2 (τ kC)), which completes the proof. 

Poincaré inequality has been deeply studied by many authors and several necessary or
sufficient conditions are now available for this functional inequality. Using the equivalence
(51) µ verifies P(ω, C) ⇔ ω# µ verifies P(C),
it is an easy job to convert the known criteria for Poincaré inequality into criteria for the
P(ω, · ) inequality.
In dimension one, one has a necessary and sufficient condition.
Proposition 9.16. An absolutely continuous probability measure µ on R with density h > 0
satisfies the inequality P(ω, C) for some C > 0 if and only if
(52) Z m ′ 2 Z x ′ 2
− ω (u) + ω (u)
Dω = sup µ(−∞, x] du < +∞ and Dω = sup µ[x, +∞) du < +∞,
x≤m x h(u) x≥m m h(u)
where m denotes the median of µ. Moreover the optimal constant C denoted by Copt verifies
max(Dω− , Dω+ ) ≤ Copt ≤ 4 max(Dω− , Dω+ ).
 TRANSPORT INEQUALITIES 55

Proof. This proposition follows at once from the celebrated Muckenhoupt condition for
Poincaré inequality (see [88]). According to Muckenhoupt condition, a probability mea-
sure dν = h dx having a positive density with respect to Lebesgue measure, satisfies Poincaré
inequality if and only if
Z m Z x
− 1 + 1
D = sup ν(−∞, x] du < +∞ and D = sup ν[x, +∞) du < +∞,
x≤m x h(u) x≥m m h(u)
and the optimal constant Copt verifies max(D − , D + ) ≤ Copt ≤ 4 max(D − , D + ). Now, ac-
cording to (51), µ satisfies P(ω, C) if and only if µ̃ = ω# µ satisfies Poincaré inequality with
−1
the constant C. The density of µ̃ is h̃ = ωh◦ω
′ ◦ω −1 . Plugging h̃ into Muckenhoupt conditions
immediately gives us the announced result. 

Estimating the integrals defining D − and D + by routine arguments, one can obtain the
following workable sufficient conditions (see [51, Proposition 3.3] for a proof).
Proposition 9.17. Let µ be an absolutely continuous probability measure on R with density
dµ(x) = e−V (x) dx. Assume that the potential V is of class C 1 and that ω verifies the following
regularity condition:
ω ′′ (x)
−−−−→ 0.
ω ′2 (x) x→+∞
If V is such that
|ω ′ (x)|
lim sup ′ < +∞,
x→±∞ |V (x)|
then the probability measure µ verifies the inequality P(ω, C) for some C > 0.

Observe that this proposition together with the inequality (50) furnishes another proof of
Corollary 9.10 and enables us to recover (as a particular instance, taking ω = ω2 ) Cattiaux
and Guillin’s condition for T2 .
In dimension k, it is well known that a probability dν(x) = e−W (x) dx on Rk satisfies
Poincaré inequality if W verifies the following condition:
1
lim inf |∇W |22 (x) − ∆W (x) > 0.
|x|→+∞ 2

This condition is rather classical in the functional inequality literature. The interested reader
can find a nice elementary proof in [3]. Using (51) again, it is not difficult to derive a similar
multidimensional condition for the inequality P(ω, · ) (see [51, Proposition 3.5] for a proof).

10. Transport-information inequalities

Instead of the transport-entropy inequality α(Tc ) ≤ H, Guillin, Léonard, Wu and Yao have
investigated in [57] the following transport-information inequality
(Tc I) α(Tc (ν, µ)) ≤ I(ν|µ),
for all ν ∈ P(X ), where the relative entropy H(ν|µ) is replaced by the Donsker-Varadhan
information I(ν|µ) of ν with respect to µ which was defined at (37).
This section reports some results of [57].
56 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Background material from large deviation theory. We have seen in Section 5 that any
transport-entropy inequality satisfied by a P probability measure µ is connected to the large
deviations of the empirical measure Ln = n1 ni=1 δXi of the sequence (Xi )i≥1 of independent
copies of µ-distributed random variables. The link between these two notions is Sanov’s
theorem which asserts that Ln obey the large deviation principle with the relative entropy
ν 7→ H(ν|µ) as its rate function. In this section, we are going to play the same game replacing
(Xi )i≥1 with an X -valued time-continuous Markov process (Xt )t≥0 with a unique invariant
probability measure µ. Instead of the large deviations of Ln , it is natural to consider the
large deviations of the occupation measure
Z
1 t
Lt := δXs ds
t 0

as the length of observation t tends to infinity. The random probability measure Lt describes
the ratio of time the random path (Xs )0≤s≤t has spent in each subset of X . If (Xt )t≥0 is
µ-ergodic, then the ergodic theorem states that, almost surely, Lt tends to µ as t tends to
infinity. If in addition (Xt )t≥0 is µ-reversible, then Lt obeys the large deviation principle
with some rate function I( · |µ). Roughly speaking:

(53) P(Lt ∈ A) ≍ e−t inf ν∈A I(ν|µ) .

t→∞

The functional ν ∈ P(X ) 7→ I(ν|µ) ∈ [0, ∞] measures some kind of difference between ν and
µ, i.e. some quantity of information that ν brings out with respect to the prior knowledge of
µ. With the same strategy as in Section 5, based on similar heuristics, we are lead to a new
class of transport inequalities which are called transport-information inequalities.
We give now a rigorous statement of (53) which plays the same role as Sanov’s theorem
played in Section 5.
Let the Markov process (Xt )t≥0 satisfy the assumptions which have been described at
Section 8.2. Recall that the Donsker-Varadhan information I(·|µ) is defined at (37).
R
Theorem 10.1 (Large deviations of the occupation measure). Denoting Pβ ( · ) := X Px ( · ) dβ(x)
for any initial probability measure β, suppose as in Remark 8.4 that ((Xt )t≥0 , Pµ ) is a sta-
tionary ergodic process.
In addition to these assumptions on the Markov process, suppose that the initial law β ∈ P(X )
is absolutely continuous with respect to µ and dβ/dµ is in L2 (µ). Then, Lt obeys the large
deviation principle in P(X ) with the rate function I( · |µ), as t tends to infinity. This means
that, for all Borel measurable A ⊂ P(X ),

1 1
− inf I(ν|µ) ≤ lim inf log Pβ (Lt ∈ A) ≤ lim sup log Pβ (Lt ∈ A) ≤ − inf I(ν|µ)
ν∈int(A) t→+∞ t t→+∞ t ν∈cl(A)

where int(A) denotes the interior of A and cl(A) its closure (for the weak topology).

This was proved by Donsker and Varadhan [40] under some conditions of absolute conti-
nuity and regularity of Pt (x, dy) but without any restriction on the initial law. The present
statement has been proved by Wu [111, Corollary B.11].
 TRANSPORT INEQUALITIES 57

The inequalities W1 I and W2 I. The derivation of the large deviation results for Lt as t
tends to infinity is intimately related to the Feynman-Kac semigroup
 Z t 
u x
Pt g(x) := E g(Xt ) exp u(Xs ) ds .
0
When u is bounded, (Ptu ) is a strongly continuous semigroup of bounded operators on L2 (µ)
whose generator is given by Lu g = Lg + ug, for all g ∈ D2 (Lu ) = D2 (L).
Theorem 10.2 (Deviation of the empirical mean, [57]). Let d be a lower semicontinuous
metric on the polish space X , (Xt ) be a µ-reversible and ergodic Markov process on X and α
a function in the class A, see Definition 3.1.
(1) The following statements are equivalent:
R
- ∀ν ∈ P(X
 R), I(ν|µ) < ∞ ⇒ X d(xo , · ) dν < ∞;
1
- Eµ exp λo 0 d(xo , Xt ) dt < ∞ for some λo > 0.
(2) Under this condition, the subsequent statements are equivalent.
(a) The following inequality holds true:
(W1 I) α(W1 (ν, µ)) ≤ I(ν|µ),
for all ν ∈ P(X ).
(b) For all Lipschitz function u on X with kukLip ≤ 1 and all λ, t ≥ 0,
 Z 
λu ⊛
kPt kL2 (µ) ≤ exp t[λ u dµ + α (λ)] ;
X
R
(c) For all Lipschitz function u on X with kukLip ≤ 1, X u dµ = 0 and all λ ≥ 0,
 Z t 
1
lim sup log Eµ exp λ u(Xs ) ds ≤ α⊛ (λ);
t→∞ t 0
(d) For all Lipschitz function u on X , r, t > 0 and β ∈ P(X ) such that dβ/dµ ∈
L2 (µ),
 Z t Z   
1 dβ
Pβ u(Xs ) ds ≥ u dµ + r ≤ exp − tα (r/kukLip ) .
t 0 X dµ 2
Remark 10.3. The Laplace-Varadhan principle allows us to identify the left-hand side of the
inequality stated
R at (c), so that (c) is equivalent to: For all Lipschitz function u on X with
kukLip ≤ 1, X u dµ = 0, all λ ≥ 0 and all ν ∈ P(X ),
Z
λ u dν − I(ν|µ) ≤ α⊛ (λ).
X

The proof of statement (1) follows the proof of (27) once one knows that ν 7→ I(ν|µ) and
u 7→ Υ(u) := log kP1u kL2 (µ) = 1t log kPtu kL2 (µ) (for all t > 0) are convex conjugate to each
other. The idea of the proof of the second statement is pretty much the same as in Section
5. As was already mentioned, one has to replace Sanov’s theorem with Theorem 10.1. The
equivalence of (a) and (c) can be obtained without appealing to large deviations, but only
invoking the duality of inequalities stated at Theorem 3.5 and the fact that I and Υ are
convex conjugate to each other, as was mentioned a few lines above.
Let us turn our attention to the analogue of T2 .
58 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Definition 10.4. The probability measure µ ∈ P2 (X ) satisfies the inequality W2 I(C) with
constant C if
W22 (ν, µ) ≤ C 2 I(ν|µ),
for all ν ∈ P(X ).

Theorem 10.5 (W2 I, [57]). The statements below are equivalent.

(a) The probability measure µ ∈ P(X ) verifies W2 I(C).

Qv
t
(b) For any v ∈ Bb (X ), kPtC 2 kL2 (µ) ≤ e C 2 µ(v) , for all t ≥ 0 where Qv(x) = inf {v(y) + d2 (x, y)}.
y∈X
u t
µ(Su)
(c) For any u ∈ Bb (X ), kPt C2
kL2 (µ) ≤ e C2 , for all t ≥ 0 where Su(y) = sup {u(y) − d2 (x, y)}.
x∈X

Proposition 10.6 (W2 I in relation with LS and P, [57]). In the framework of the Rie-
mannian manifold as above, the following results hold.

(a) LS(C) implies W2 I(C).

(b) W2 I(C) implies P(C/2).
(c) Assume that Ric + HessV ≥ κId with κ ∈ R. If Cκ ≤ 2, Then,
W2 I(C) implies LS(2C − C 2 κ/2).

Note that W2 I(C) with Cκ ≤ 2 is possible. This follows from Part (a) and the Bakry-
Emery criterion in the case κ > 0, see Corollary 7.3.

Proof. • Proof
p of (a). By Theorem
p 8.12, we know that LS(C) implies T2 (C). Hence,
W2 (ν, µ) ≤ 2CH(ν|µ) ≤ 2C I(ν|µ).

• Proof of (b). The proof follows from the usual linearization

R procedure. Set µε = (1 + εg)µ
for some smooth and compactly supported g with g dµ = 0, we easily get R
limε→0 I(µε |µ)/ε2 = 41 E(g, g) and by Otto-Villani [89, p.394], there exists r such that g2 dµ ≤
p
E(g, g) W2 (µε ε ,µ) + rε W22 (µε , µ). Using now W2 I(C) we get
Z r
2
p I(µε |µ) rC 2
g dµ ≤ C E(g, g) + I(µε |µ).
ε2 ε
Letting ε → 0 gives the result.

• Proof of (c). It is a direct application of the HWI inequality, see Corollary 7.4. 

Tensorization. In Section 1 we have already seen how transport-entropy inequalities ten-

sorize. We revisit tensorization, but this time we replace the relative entropy H(·|µ) with the
Donsker-Varadhan I(·|µ). This will be quite similar in spirit to what as already been done in
Section 1, but we are going to use alternate technical lemmas which will prepare the road to
Section 11 where a Gibbs measure will replace our product measure. This approach which is
partly based on Gozlan & Léonard [53] is developed in Guillin, Léonard, Wu & Yao’s article
[57].
 TRANSPORT INEQUALITIES 59
Qn
On the polish product space X (n) := i=1 Xi equipped with the product measure µ :=
n
⊗i=1 µi , consider the cost function
n
X
⊕i ci (x, y) := ci (xi , yi ), x, y ∈ X (n)
i=1

where for each index i, ci is lower semicontinuous on Xi2 and assume that for each 1 ≤ i ≤ n,
µi ∈ P(Xi ) satisfies the transport-information inequality
(54) αi (Tci (ν, µi )) ≤ IEi (ν|µi ), ν ∈ P(Xi )
where IEi (ν|µi ) is the Donsker-Varadhan information related to some Dirichlet form (Ei , D(Ei )),
and αi stands in the class A, see Definition 3.1. Define the global Dirichlet form ⊕µi Ei by
( Z n
)
X
D(⊕µi Ei ) := g ∈ L2 (µ) : gixei ∈ D(Ei ), for µ-a.e. x
ei and Ei (gixei , gixei ) dµ(x) < +∞
X (n) i=1

where gixei : xi 7→ gixei (xi ) := g(x) with x

ei := (x1 , · · · , xi−1 , xi+1 , · · · , xn ) considered as fixed
and
Z Xn
µ
(55) ⊕i Ei (g, g) := Ei (gixei , gixei ) dµ(x), g ∈ D(⊕µi Ei ).
X (n) i=1

Let I⊕i Ei (ν|µ) be the Donsker-Varadhan information associated with (⊕µi Ei , D(⊕µi Ei )), see
(37). We denote α1  · · · αn the inf-convolution of α1 , . . . , αn which is defined by
α1  · · · αn (r) = inf{α1 (r1 ) + · · · + αn (rn ); r1 , . . . , rn ≥ 0, r1 + · · · + rn = r}, r ≥ 0.
Theorem 10.7 ([57]). Assume that for each i = 1, · · · , n, µi satisfies the transport-entropy
inequality (54). Then, the product measure µ satisfies the following transport-entropy in-
equality
(56) α1  · · · αn (T⊕ci (ν, µ)) ≤ I⊕i Ei (ν|µ), ν ∈ P(X (n) ).

This result is similar to Proposition 1.8. But its proof will be different. It is based on the
following sub-additivity result for the transport cost of a product measure.
Let (Xi )1≤i≤n be the canonical process on X (n) . For each i, X ei = (Xj )1≤j≤n;j6=i is the
configuration without its value at index i.
Given a probability measure ν on X (n) ,
ei = x
νixei = ν(Xi ∈ ·|X ei )
ei = x
denotes the regular conditional distribution of Xi knowing that X ei under ν and
νi = ν(Xi ∈ ·)
denotes the i-th marginal of ν.
Nn
Proposition 10.8 ([57]). Let µ = i=1 µi be a product probability measure on X (n) . For all
ν ∈ P(X (n) ), !
Z n
X
T⊕ci (ν, µ) ≤ Tci (νixei , µi ) dν(x).
X (n) i=1
60 NATHAEL GOZLAN, CHRISTIAN LÉONARD

The proof of this proposition is given in the Appendix at Proposition A.2.

The following additivity property of the Fisher information will be needed. It holds true
even in the dependent case.

Lemma 10.9 ([57]). Let ν, µ be probability measures on X (n) such that I⊕i Ei (ν|µ) < +∞.
Then,

Z n
X
I⊕i Ei (ν|µ) = IEi (νixei |µixei ) dν(x).
X (n) i=1

Sketch of proof. Let f be a regular enough function. This why this is only a sketch of proof,
because an approximation argument which we do not present here, is needed to obtain the
result for any f in the domain D(⊕i Ei ).
dν xei f xei (xi )
Then, ixe (xi ) = xei xe , ν-a.s. where fixei is the function f of xi with x
ei fixed. For ν-a.e.
dµi i µi i (fi i )
ei ,
x

v
u
v
u 
u u f xei q q
fixei 1
IEi (ν |µ ) = Ei t
i
x
ei x
ei
i x
ei x
, t
x
i
ei x
 = Ei ( fixei , fixei ).
µi (fi ) ei
µi (fiei ) µxiei (fixei )

Thus,

Z n
X Z n
X q q
1
IEi (νixei |µxiei ) dν(x) = f (x) Ei ( fi , fixei ) dµ(x)
xei
X (n) i=1 X (n) µxiei (fixei )
i=1
Z n
X q q
= Ei ( fi , fixei ) dµ(x)
xei
X (n) i=1
p p
= ⊕µi Ei ( f , f )
= I⊕i Ei (ν|µ),

which completes the sketch of the proof. 

This additivity is different from the super-additivity of the Fisher information for a product
measure obtained by Carlen [24].
We are now ready to write the proof of Theorem 10.7.
 TRANSPORT INEQUALITIES 61

Proof of Theorem 10.7. Without loss of generality we may assume that I(ν|µ) < +∞. By
Proposition 10.8, Jensen inequality and the definition of α1  · · · αn ,
Z n
!
X x
ei
α1  · · · αn (T⊕ci (ν, µ)) ≤ α1  · · · αn Tci (νi , µi ) dν(x)
X (n) i=1
Z n
!
X
≤ α1  · · · αn Tci (νixei , µi ) dν(x)
X (n) i=1
Z n
X
≤ αi (Tci (νixei , µi )) dν(x)
X (n) i=1
Z Xn
≤ IEi (νixei |µi ) dν(x).
X (n) i=1

The last quantity is equal to I⊕Ei (ν|µ), by Lemma 10.9. 

As an example of application, let (Xti )t≥0 , i = 1, · · · , n be n Markov processes with the

same transition semigroup (Pt ) and the same symmetrized Dirichlet form E on L2 (ρ), and
conditionally independent once the initial configuration (X0i )i=1,··· ,n is fixed. Then Xt :=
(Xt1 , · · · , Xtn ) is a Markov process with the symmetrized Dirichlet form given by
Z Xn
ρn
⊕n E(g, g) = E(gixei , gixei ) ρ(dx1 ) · · · ρ(dxn ).
i=1

Corollary 10.10 ([57]).

(1) Assume that ρ satisfies the transport-information inequality α(Tc ) ≤ IE on X with α
in the class A. Then ρn satisfies
 
T⊕n c (ν, ρn )
nα ≤ I⊕n E (ν|ρn ), ν ∈ P(X n ).
n
(2) Suppose in particular that ρ verifies α(Td ) ≤ IE for the metric lower semicontinuous
cost d. Then, for any Borel measurable d-Lipschitz(1) function u, any initial measure
β on X n with dβ/dρn ∈ L2 (ρn ) and any t, r > 0,
n Z !
1X1 t i dβ
Pβ u(Xs ) ds ≥ ρ(u) + r ≤ e−ntα(r) .
n t 0 dρn 2
i=1

(3) If ρ satisfies W2 I(C) : Td2 ≤ C 2 IE , then ρn satisfies W2 I(C) : T⊕n d2 ≤ C 2 I⊕n E .

Proof. As αn (r) = nα(r/n), the first part (1) follows from Theorem 10.7. The second part
(2) follows from Theorem 10.2 and the third part (3) is a direct application of (1). 

Transport-information inequalities in the literature. Several integral criteria are worked

out in [57], mostly in terms of Lyapunov functions. Note also that the assumptions in [57]
are a little less restrictive than those of the present section, in particular the Markov process
might not be reversible, but it is required that its Dirichlet form is closable.
62 NATHAEL GOZLAN, CHRISTIAN LÉONARD

For further relations between α(T ) ≤ I and other functional inequalities, one can read the
paper [56] by Guillin, Léonard, Wang and Wu.
In [45], Gao, Guillin and Wu have refined the above concentration results in such a way
that Bernstein inequalities are accessible. The strategy remains the same since it is based on
the transport-information inequalities of Theorem 10.2, but the challenge is to express the
constants in terms of asymptotic variances. Lyapunov function conditions allow to derive
explicit rates.
An interesting feature with Theorem 10.2 is that it allows to treat time-continuous Markov
processes with jumps. This is widely done in [45]. But processes with jumps might not verify
a Poincaré inequality even in presence of good concentration properties, for instance when
considering processes with strong pulling-back drifts. In such cases, even the α(T ) ≤ I
strategy fails. An alternative attack of the problem of finding concentration estimates for the
empirical means (of Lipschitz observables) has been performed by Wu in [113] where usual
transport inequalities α(T ) ≤ H at the level of the Markov transition kernel are successfully
exploited.
Gibbs measures are also investigated by Gao and Wu [46] by means of transport-information
inequalities. This is developed in the next Section 11.

11. Transport inequalities for Gibbs measures

We have seen transport inequalities with respect to a reference measure µ and how to
derive transport inequalities for the product measure µ = ρn from transport inequalities
for ρ. A step away from this product measure structure, one is naturally lead to consider
Markov structures. This is the case with Gibbs measures, a description of equilibrium states
in statistical physics. Three natural problem encountered with Gibbs measures are:

(1) Find criteria for the uniqueness/non-uniqueness of the solutions to the Dobrushin-
Lanford-Ruelle (DLR) problem associated with the local specifications (see next sub-
section below). This uniqueness corresponds to the absence of phase coexistence of
the physical system and the unique solution is our Gibbs measure µ.
(2) Obtain concentration estimates for the Gibbs measures.
(3) In case of uniqueness, estimate the speed of convergence of the Glauber dynamics
(see below) towards the equilibrium µ.

A powerful tool for investigating this program is the logarithmic Sobolev inequality. This is
known since the remarkable contribution in 1992 of Zegarlinski [114], see also the papers [97,
98] by Stroock & Zegarlinski. Lecture notes on the subject have been written by Martinelli
[75], Royer [93] and Guionnet & Zegarlinski [59]. An alternate approach is to exchange
logarithmic Sobolev inequalities with Poincaré inequality. Indeed, in some situations both
these inequalities are equivalent [97, 98].
Recently, another approach of this problem has been proposed which consists of replacing
logarithmic Sobolev inequalities by transport inequalities. This is what this section is about.
The main recent contributions in this area are due to Marton [80], Wu [112], Gao & Wu [46]
and Ma, Shen, Wang & Wu [74].
 TRANSPORT INEQUALITIES 63

Gibbs measures. The configuration space is X I where X is the spin space and I is a
countable set of sites, for instance a finite set with a graph structure or the lattice I = Zd . A
configuration is x = (xi )i∈I where xi ∈ X is the spin value at site i ∈ I. The spin space might
be finite, for instance X = {−1, 1} as in the Ising model, or infinite, for instance X = S k the
k-dimensional sphere or X = Rk . It is assumed that X is a polish space furnished with its
Borel σ-field. Consequently, any conditional probability measure admits a regular version.
Let us introduce some notation. For any i ∈ I, xei is the restriction of the configuration x
to {i}c := I \ {i}. Given ν ∈ P(X I ), one can consider the family of conditional probability
laws of Xi knowing X ei where X = (Xi )i∈I is the canonical configuration. We denote these
conditional laws:

ei = x
νixei := µ(Xi ∈ ·|X ei ), i ∈ I, x ∈ X I .

As different projections of the same ν, these conditional laws satisfy a collection of compati-
bility conditions.
The DLR problem is the following inverse problem. Consider a family of prescribed local
specifications µixei , i ∈ I, x ∈ X I which satisfy the appropriate collection of compatibility
conditions. Does there exist some µ ∈ P(X I ) whose conditional distributions are precisely
these prescribed local specifications? Is there a unique such µ?
The solutions of the DLR problem are called Gibbs measures.

Glauber dynamics. It is well-known that dµ(x) = Z −1 e−V (x) dx where Z is a normalizing

constant, is the invariant probability measure of the Markov generator ∆ − ∇V · ∇. This fact
is extensively exploited in the semigroup approach of the Poincaré and logarithmic Sobolev
inequalities. Indeed, these inequalities exhibit on their right-hand side the Dirichlet form E
associated with this Markov generator.
This differs from the WH inequalities such as T1 or T2 which do not give any role to any
Dirichlet form: it is the main reason why we didn’t encounter the semigroup approach in
these notes up to now. But replacing the entropy H by the information I(·|µ), one obtains
transport-information inequalities WI and the semigroups might have something to tell us.
Why should one introduce some dynamics related to a Gibbs measure? Partly because in
practice the normalizing constant Z is inaccessible to computation in very high dimension,
so that simulating a Markov process (Xt )t≥0 admitting our Gibbs measure as its (unique)
invariant measure during a long period of time allows us to compute estimates for average
quantities. Another reason is precisely the semigroup approach which helps us deriving
functional inequalities dealing with Dirichlet forms. This relevant dynamics, which is often
called the Glauber dynamics, is precisely the Markov dynamics associated with the closure
of the Dirichlet form which admits our Gibbs measure as its invariant measure.
Now, let us describe the Glauber dynamics precisely.
Let µ be a Gibbs measure (solution of the DLR problem) with the local specifications
{µxiei
∈ P(X ); i ∈ I, x ∈ X I }. For each i ∈ I, x ∈ X I , consider a Dirichlet form (Eixei , D(Eixei ))
64 NATHAEL GOZLAN, CHRISTIAN LÉONARD

and define the global Dirichlet form E µ by

n
D(E µ ) := f ∈ L2 (µ) : for all i ∈ I, fixei ∈ D(Eixei ), for µ-a.e. x ei
Z X o
and Eixei (fixei , fixei ) dµ(x) < +∞
X I i∈I

where fixei : xi 7→ fixei (xi ) := f (x) with x

ei considered as fixed and
Z X
(57) E µ (f, f ) := Eixei (fixei , fixei ) dµ(x), f ∈ D(E µ ).
X I i∈I

Assume that E µ is closable. Then, the Glauber dynamics is the Markov process associated
with the closure of E µ .
Example 11.1. An interesting example is given by the following extension of the standard
Example 8.6. Let X be a complete connected Riemannian manifold. Consider a Gibbs
measure µ solution to the DLR problem as above. For each i ∈ I and x ∈ X I , the one-site
Dirichlet form Eixei is defined for any smooth enough function f on X by
Z
Eixei (f, f ) = |∇f |2 dµxiei
X
and the global Dirichlet form Eµ which is defined by (57) is given for any smooth enough
cylindrical function f on X I by
Z
E µ (f, f ) = |∇I f |2 dµ
XI

where ∇I is the gradient on the product manifold X I . The corresponding Markov process is
a family indexed by I of interacting diffusion processes, all of them sharing the same fixed
temperature (diffusion coefficient=2). This process on X I admits the Gibbs measure µ as an
invariant measure.

Dimension-free tensorization property. It is well known that the Poincaré inequality

P implies an exponentially fast L2 -convergence as t tends to infinity of the law of Xt to
the invariant measure µ. Similarly, a logarithmic Sobolev inequality LS implies a stronger
convergence in entropy. Moreover, both P and LS enjoy a dimension-free tensorization
property which is of fundamental importance when working in an infinite dimensional setting.
This dimension-free tensorization property is also shared by T2 = W2 H, see Corollary 4.4,
and by W2 I, see Corollary 10.10-(3).
Now, suppose that each one-site specification µixei , for any i ∈ I and any x ∈ X I , satisfies
a functional inequality with the dimension-free tensorization property. One can reasonably
expect that, provided that the constants Cixei in these inequalities enjoy some uniformity
property in i and x, any Gibbs measure built with the local specifications µxiei also shares some
non-trivial functional inequality (in the same family of inequalities). This is what Zegarlinski
[114] discovered with bounded spin systems and LS. On the other hand, this inequality (say
P or LS) satisfied by the Gibbs measures µ entails an exponentially fast convergence as t
tends to infinity of the global Glauber dynamics to µ. By standard arguments, one can prove
 TRANSPORT INEQUALITIES 65

that this implies the uniqueness of the invariant measure and therefore, the uniqueness of
the solution of the DLR problem.
In conclusion, some uniformity property in i and x of the inequality constants Cixei is
a sufficient condition for the uniqueness of the DLR problem and an exponentially fast
convergence of the Glauber dynamics.
Recently, Marton [80] and Wu [112] considered the “dimension-free” transport-entropy
inequality T2 and Gao & Wu [46] the “dimension-free” transport-information inequality
W2 I in the setting of Gibbs measures.

Dobrushin coefficients. Let d be a lower semicontinuous R metric on X and let Pp (X ) be

the set of all Borel probability measures ρ on X such that X dp (ξo , ξ) dρ(ξ) < ∞ with p ≥ 1.
Assume that for each site i ∈ I and each boundary condition x ei , the specification µxiei is in
Pp (X ). For any i, j ∈ I, the Dobrushin interaction Wp -coefficient is defined by


Wp µxiei , µyiei
cp (i, j) := sup
x,y; x=y off j d(xj , yj )

where Wp is the Wasserstein metric of order p on Pp (X ) which is built on the metric d. Let
cp = (cp (i, j))i,j∈I denote the corresponding matrix which is seen as an endomorphism of
ℓp (I). Its operator norm is denoted by kcp kp .
Dobrushin [38, 39] obtained a criterion for the uniqueness of the Gibbs measure (cf. Ques-
tion (1) above) in terms of the coefficients c1 (i, j) with p = 1. It is
X
sup c1 (i, j) < 1.
j∈I i∈I

This quantity is kc1 k1 , so that Dobrushin’s condition expresses that c1 is contractive on ℓ1 (I)
and the uniqueness follows from a fixed point theorem, see Föllmer’s lecture notes [43] for
this well-advised proof.

Wasserstein metrics on P(X I ). Let p ≥ 1 be fixed. The metric on X I is

X 1/p
(58) dp,I (x, y) := dp (xi , yi ) , x, y ∈ X I
i∈I

and the Wasserstein metric Wp,I on P(X I ) is built upon dp,I . One sees that it corresponds to
the tensor cost dpp,I = ⊕i∈I dpi with an obvious notation.
Gao and Wu [46] have proved the following tensorization result for the Wasserstein distance
between Gibbs measures.
Proposition 11.2. Assume that µixei ∈ Pp (X ) for all i ∈ I and x ∈ X I and also suppose that
kcp kp < 1. Then, µ ∈ Pp (X I ) and for all ν ∈ Pp (X I ),
Z X
p
Wp,I(ν, µ) ≤ (1 − kcp kp ) −1
Wpp (νixei , µxiei ) dν(x).
X I i∈I
66 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Sketch of proof. As a first step, let us follow exactly the beginning of the proof of Proposition
A.2 in the Appendix. Keeping the notation of Proposition A.2, we have
X p
(59) E dp (Ui , Vi ) = Wp,I (ν, µ).
i∈I

and we arrive at (67) which, with ci = dp , is

 
bi , Vbi ) = EW p ν Uei , µVei .
Edp (Ui , Vi ) ≤ Edp (U p i i

As in Marton’s paper [80], we can use the triangular inequality for Wp and the definition
of cp to obtain for all i ∈ I,
 e e  e e X
Wp νiUi , µVi i ≤ Wp νiUi , µU
i
i
+ cp (i, j)d(Uj , Vj ).
j∈I, j6=i

Putting both last inequalities together, we see that

 p
 e e X
(60) Edp (Ui , Vi ) ≤ E Wp νiUi , µU
i
i
+ cp (i, j)d(Uj , Vj ) , for all i ∈ I,
j∈I, j6=i

and summing them over all the sites i gives us

 p
X X  e e X
E dp (Ui , Vi ) ≤ E Wp ν Ui , µUi + cp (i, j)d(Uj , Vj ) .
i i
i∈I i∈I j∈I, j6=i
P
Consider the norm kAk  := (E  i∈I |Ai |p )1/p of the random vector A = (Ai )i∈I . With Ai =
e ei
d(Ui , Vi ) and Bi = Wp νiUi , µU
i , this inequality is simply

kAk ≤ kcp A + Bk,

since cp (i, i) = 0 for all i ∈ I. This implies that
(1 − kcp kp )kAk ≤ kBk
which, with (59), is the announced result.
Similarly to the first step of the proof of Proposition A.2, this proof contains a measurability
bug and one has to correct it exactly as in the complete proof of Proposition A.2. 

Recall that the global Dirichlet form E µ is defined at (57). The corresponding Donsker-
Varadhan information is defined by
 √ √
Eµ ( f , f ) if ν = f µ ∈ P(X I ), f ∈ D(Eµ )
IE µ (ν|µ) =
+∞ otherwise.
Similarly, we define for each i ∈ I and x ∈ X I ,
 xe √ √
x
ei Ei i ( g, g) if ρ = gµixei ∈ P(X ), g ∈ D(Eixei )
IE xei (ρ|µi ) =
i +∞ otherwise.

We are now ready to present a result of tensorization of one-site W2 I inequalities in the

setting of Gibbs measures.
 TRANSPORT INEQUALITIES 67

Theorem 11.3 ([46]). Assume that for each site i ∈ I and any configuration x ∈ X I the
local specifications are in P2 (X ) and satisfy the following one-site W2 I inequality

W22 (ρ, µxiei ) ≤ C 2 IE xei (ρ|µixei ), ρ ∈ P2 (X ),

i

the constant C being uniform in i and x.

It is also assumed that the Dobrushin W2 -coefficients satisfy kc2 k2 < 1.
Then, any Gibbs measure µ is in P2 (X I ) and satisfies the following W2 I inequality:

2 C2
W2,I (ν, µ) ≤ IE µ (ν|µ), ν ∈ P2 (X I ).
1 − kc2 k2

Proof. By Proposition 11.2, we have for all ν ∈ P2 (X I )

Z X
2
W2,I (ν, µ) ≤ (1 − kc2 k2 )−1
W22 (νixei , µxiei ) dν(x).
X I i∈I

Since the local specifications satisfy a uniform inequality W2 I, we obtain

Z X
C2
2
W2,I (ν, µ) ≤ IE xei (νixei |µxiei ) dν(x)
1 − kc2 k2 X I i
i∈I
C2
= IE µ (ν|µ)
1 − kc2 k2
where the last equality is Lemma 10.9. 

We decided to restrict our attention to the case p = 2 because of its free-dimension

property, but a similar result still holds with p > 1 under the additional requirement that I
is a finite set.
As a direct consequence, under the assumptions of Theorem 11.3, µ satisfies a fortiori the
W1 I equality
2 C2
W1,I (ν, µ) ≤ IE µ (ν|µ), ν ∈ P1 (X I ).
1 − kc2 k2
Therefore, we can derive from Theorem 10.2 the following deviation estimate for the Glauber
dynamics.

Corollary 11.4 (Deviation of the Glauber dynamics). Suppose that µ is the unique Gibbs
measure (for instance if kc1 k1 < 1) and that the assumptions of Theorem 11.3 are satisfied.
Then, the Glauber dynamics (Xt )t≥0 verifies the following deviation inequality.
For all d1,I -Lipschitz function u on X I (see (58) for the definition of d1,I ), for all r, t > 0 and
all β ∈ P(X I ) such that dβ/dµ ∈ L2 (µ),
 Z t Z   1 − kc k 
1 dβ 2 2 2
Pβ u(Xs ) ds ≥ u dµ + r ≤ exp − 2 tr .
t 0 XI dµ 2 C kuk2Lip
68 NATHAEL GOZLAN, CHRISTIAN LÉONARD

12. Free transport inequalities

The semicircular law is the probability distribution σ on R defined by

1 p
dσ(x) = 4 − x2 1I[−2,2] (x) dx.
2π
This distribution plays a fundamental role in the asymptotic theory of Wigner random ma-
trices.
Definition 12.1 (Wigner matrices). Let N be a positive integer; a (complex) N × N Wigner
matrix M is an Hermitian random matrix such that the entries M (i, j) with i < j are
i.i.d C-valued random variables with E[M (i, j)] = 0 and E[|M (i, j)|2 ] = 1 and such that
the diagonal entries M (i, i) are i.i.d centered real random variables independent of the off-
diagonal entries and having finite variance. When the entries of M are Gaussian random
variables and E[M (1, 1)2 ] = 1, M is referred to as the Gaussian Unitary Ensemble (GUE).

Let us recall the famous Wigner theorem (see e.g [1] or [58] for a proof).
Theorem 12.2 (Wigner theorem). Let (MN )N ≥0 be a sequence of complex Wigner matrices
such that maxN ≥0 (E[MN (1, 1)2 ]) < +∞ and let LN be the empirical distribution of XN :=
√1 MN , that is to say
N
N
1 X
LN = δλN ,
N i
i=1
where λN N N
1 ≤ λ2 ≤ . . . ≤ λN are the (real) eigenvalues of XN . Then the sequence of ran-
dom probability measures LN converges almost surely to the semicircular law (for the weak
topology).

In [15], Biane and Voiculescu have obtained the following transport inequality for the
semicircular distribution σ
(61) e
T2 (ν, σ) ≤ 2Σ(ν|σ),
which holds for all ν ∈ P(R) with compact support (see [15, Theorem 2.8]). The functional
appearing in the left-hand side of (61) is the relative free entropy defined as follows:
e
Σ(ν|σ) = E(ν) − E(σ),
where Z ZZ
x2
E(ν) = dν(x) − log(|x − y|) dν(x)dν(y).
2
e · |σ) is a natural candidate to replace the relative entropy H( · |σ),
The relative free entropy Σ(
because it governs the large deviations of LN when MN is drawn from the GUE, as was shown
by Ben Arous and Guionnet in [13]. More precisely, we have the following: for every open
(resp. closed) subset O (resp. F ) of P(R),
1 e
lim inf 2 log P (LN ∈ O) ≥ − inf{Σ(ν|σ); ν ∈ O},
N →∞ N
1 e
lim sup 2 log P (LN ∈ F ) ≤ − inf{Σ(ν|σ); ν ∈ F }.
N →∞ N
 TRANSPORT INEQUALITIES 69

Different approaches were considered to prove (61) and to generalize it to other compactly
supported probability measures. The original proof by Biane and Voiculescu was inspired
by [89]. Then Hiai, Petz and Ueda [60] proposed a simpler proof relying on Ben Arous and
Guionnet large deviation principle. Later Ledoux gave alternative arguments based on a
free analogue of the Brunn-Minkowski inequality. Recently, Ledoux and Popescu [91, 70]
proposed yet another approach using optimal transport tools. Here, we will sketch the proof
of Hiai, Petz and Ueda.
We need to introduce some supplementary material. Define HN as the set of Hermitian
2
N × N matrices. We will identify HN with the space RN using the map
(62) H ∈ HN 7→ ((H(i, i))i , (Re(H(i, j)))i<j , (Im(H(i, j)))i<j ) .
The Lebesgue measure dH on HN is
N
Y Y Y
dH := dHi,i d (Re(Hi,j )) d (Im(Hi,j )) .
i=1 i<j i<j

For all continuous function Q : R → R, let us define the probability measure PN,Q on HN by
Z Z
1
(63) f dPN,Q := f (H)e−N Tr(Q(H)) dH
ZN (Q)
for all bounded and measurable f : HN → R, where Q(H) is defined using the basic functional
calculus, and Tr is the trace operator. In particular, when MN is drawn from the GUE, then
it is easy to check that the law of XN = N −1/2 MN is PN,x2 /2 .
The following theorem is due to Ben Arous and Guionnet.
Theorem 12.3. Assume that Q : R → R is a continuous function such that
Q(x)
(64) lim inf > 2,
|x|→∞ log |x|

and for all N ≥ 1 consider a random matrix XN,Q distributed according to PN,Q . Let λN
1 ≤
N 1 PN
. . . ≤ λN be the ordered eigenvalues of XN,Q and define LN = N i=1 δλN ∈ P(R). The
i
sequence of random measures (LN )N ≥1 obeys a large deviation principle, in P(R) equipped
with the weak topology, with speed N 2 and the good rate function IQ defined by
IQ (ν) = EQ (ν) − inf EQ (ν), ν ∈ P(R)
ν

where Z ZZ
EQ (ν) = Q(x) dν(x) − log |x − y| dν(x)dν(y), ν ∈ P(R).

In other words, for all open (resp. closed) O (resp. F ) of P(R), it holds
1
lim inf log P (LN ∈ O) ≥ − inf{IQ (ν); ν ∈ O},
N →∞ N2
1
lim sup 2 log P (LN ∈ F ) ≤ − inf{IQ (ν); ν ∈ F }.
N →∞ N
70 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Moreover, the functional IQ admits a unique minimizer denoted by µQ . The probability

measure µQ is compactly supported and is characterized by the following two conditions:
there is a constant CQ ∈ R such that
Z
Q(x) ≥ 2 log |x − y| dµQ (y) + CQ , for all x ∈ R

and Z
Q(x) = 2 log |x − y| dµQ (y) + CQ , for all x ∈ Supp(µQ ).

Finally, the asymptotic behavior of the normalizing constant ZN (Q) in (63) is given by:
1
lim log ZN (Q) = −EQ (µQ ) = − inf EQ (ν).
N →∞ N2 ν

Remark 12.4. Let us make a few comments on this theorem.

(1) When Q(x) = x2 /2, then µQ is the semicircular law σ.
(2) For a general Q, one has the identity IQ (ν) = EQ (ν)−EQ (µQ ). So, to be coherent with
e
the notation given at the beginning of this section, we will denote IQ (ν) = Σ(ν|µ Q)
in the sequel.
(3) As a by-product of the large deviation principle, we can conclude that the sequence of
random measures LN converges almost surely to µQ (for the weak topology). When
Q(x) = x2 /2, this provides a proof of Wigner theorem in the particular case of the
GUE.

Now we can prove the transport inequality (61).

Proof of (61). We will prove the inequality (61) only in the case where ν is a probability
measure with support included in [−A; A], A > 0 and such that the function
Z
Sν (x) := 2 log |x − y| dν(y)

is finite and continuous over R. The general case is then obtained by approximation (see [60]
for explanations).
e
First step. To prove that T2 (ν, σ) ≤ 2Σ(ν|σ), the first idea is to use Theorem 12.3 to provide
a matrix approximation of ν and σ.
Let Qν : R → R be a continuous function such that Qν = Sν on [−A, A], Qν ≥ Sν
2
and Qν (x) = x2 when |x| is large. Let XN,ν , N ≥ 1 be a sequence of random matrices
distributed according to the probability PN,ν associated to Qν in (63) (we shall write in the
sequel PN,ν instead of PN,Qν ). The characterization of the equilibrium measure µQν easily
implies that µQν = ν. So, the random empirical measures LN,ν of XN,ν follows the large
e · |ν). In particular, LN,ν converges almost
deviation principle with the good rate function Σ(
surely to ν (for the weak topology). Let us consider the probability measure νN defined for
all bounded measurable function f by
Z Z 
f dνN := E f dLN,ν .
 TRANSPORT INEQUALITIES 71

The almost sure convergence of LN,ν to ν easily implies that νN converges to ν for the weak
topology. We do the same construction with Qσ (x) = x2 /2 yielding a sequence σN converging
to σ (note that
√ in this case, the sequences XN,σ and PN,σ correspond to the GUE rescaled
by a factor N ).
Second step. Now we compare the Wasserstein distance between νN and σN to the one
between PN,ν and PN,σ . To define the latter, we equip HN with the Frobenius norm defined
as follows:
XN X N
kA − Bk2F = |A(i, j) − B(i, j)|2 .
i=1 j=1

By definition, if P1 , P2 are probability measures on HN , then

 
T2 (P1 , P2 ) := inf E kX − Y k2F ,
where the infimum is over all the couples of N × N random matrices (X, Y ) such that X
is distributed according to P1 and Y according to P2 . According to the classical Hoffman-
Wielandt inequality (see e.g [61]), if A, B ∈ HN then,
N
X
|λi (A) − λi (B)|2 ≤ kA − Bk2F ,
i=1

where λ1 (A) ≤ λ2 (A) ≤ . . . ≤ λN (A) (resp. λ1 (B) ≤ λ2 (B) ≤ . . . ≤ λN (B)) are the
eigenvalues of A (resp. B) in increasing order. So, if (XN,ν , XN,σ ) is an optimal coupling
between PN,ν and PN,σ , we have
"N #
X
2 2
T2 (PN,ν , PN,σ ) = E[kXN,ν − XN,σ kF ] ≥ E |λi (XN,ν ) − λi (XN,σ )|
i=1
Z Z 
2
= NE |x − y| dRN ,

where RN is the random probability measure on R × R defined by

N
1 X
RN := δ(λi (XN,ν ),λi (XN ,σ)) .
N
i=1

It is clear that πN := E[RN ] has marginals νN and σN . Hence, applying Fubini theorem in
the above inequality yields
T2 (PN,ν , PN,σ ) ≥ N T2 (νN , σN ).
2
Third step. If we identify the space HN to the space RN using the map defined in (62),
then PN,σ is a product of Gaussian measures:

PN,σ = N (0, 1/N )N ⊗ N (0, 1/(2N ))N (N −1)/2 ⊗ N (0, 1/(2N ))N (N −1)/2 .
Each factor verifies Talagrand inequality T2 (with the constant 2/N or 1/N ). Therefore,
using the dimension-free tensorization property of T2 , it is easy to check that PN,σ verifies
72 NATHAEL GOZLAN, CHRISTIAN LÉONARD

the transport inequality Tc ≤ 2N −1 H on HN , where the cost function c is defined by

N
X X
c(A, B) := |A(i, i) − B(i, i)|2 + 2 |A(i, j) − B(i, j)|2 = kA − Bk2F .
i=1 i<j

As a conclusion, for all N ≥ 1, the inequality T2 (PN,ν , PN,σ ) ≤ 2N −1 H (PN,ν |PN,σ ) holds.
Using Step 2, we get
2
T2 (νN , σN ) ≤ H (PN,ν |PN,σ ) , N ≥ 1.
N2

Fourth step. The last step is devoted to the computation of the limit of N −2 H (PN,ν |PN,σ )
when N goes to ∞. We have
Z  
H (PN,ν |PN,σ ) 1 1 1 1 2
= 2 log ZN (Qσ ) − 2 log ZN (Qν ) + Tr Qν (A) − A dPN,ν
N2 N N N 2
Z
1 1 x2
= 2 log ZN (Qσ ) − 2 log ZN (Qν ) + Qν (x) − dνN (x)
N N 2
Using Theorem 12.3 and the convergence of νN to ν, it is not difficult to see that the right-
e
hand side tends to Σ(ν|σ) when N goes to ∞ (observe that the function x 7→ Qν (x) −
2
x /2 is continuous and has a compact support). Since T2 is lower semicontinuous (this
is a direct consequence of the Kantorovich dual equality, see Theorem 2.2), T2 (ν, σ) ≤
lim inf N →∞ T2 (νN , σN ), which completes the proof. 

Remark 12.5. (1) It is possible to adapt the preceding proof to show that probability
measures µQ with Q′′ ≥ ρ, with ρ > 0 verify the transport inequality T2 (ν, µQ ) ≤
2e
ρ Σ(ν|µQ ), for all ν ∈ P(R), see [60].
(2) The random matrix approximation method can be applied to obtain a free analogue
of the logarithmic Sobolev inequality, see [14]. It has been shown by Ledoux in [69]
that a free analogue of Otto-Villani theorem holds. Ledoux and Popescu have also
obtained in [70] a free HWI inequality.

13. Optimal transport is a tool for proving other functional inequalities

We already saw in Section 7 that the logarithmic Sobolev inequality can be derived by
means of the quadratic optimal transport. It has been discovered by Barthe, Cordero-
Erausquin, McCann, Nazaret and Villani, among others, that this is also true for other
well-known functional inequalities such as Prékopa-Leindler, Brascamp-Lieb and Sobolev
inequalities, see [5, 6, 29, 30, 31, 83].
In this section, we do an excursion a step away from transport inequalities and visit
Brunn-Minkowski and Prékopa-Leindler inequalities. We are going to sketch their proofs.
Our main tool will be the Brenier map which was described at Theorem 2.9. For a concise
and enlightening discussion on this topic, it is worth reading Villani’s exposition in [103, Ch.
6].
 TRANSPORT INEQUALITIES 73

The Prékopa-Leindler inequality. It is a functional version of Brunn-Minkowski inequal-

ity which has been proved several times and named after the papers by Prékopa [92] and
Leindler [71].
Theorem 13.1 (Prékopa-Leindler inequality). Let f, g, h be three nonnegative integrable
functions on Rk and 0 ≤ λ ≤ 1 be such that for all x, y ∈ Rk ,
h((1 − λ)x + λy) ≥ f (x)1−λ g(y)λ .
Then,
Z Z 1−λ Z λ
h(x) dx ≥ f (x) dx g(x) dx .
Rk Rk Rk

The next proof comes from Barthe’s PhD thesis [5].

Proof. Without loss of generality, assume that f, g and h are probability densities. Pick
another probability density p on Rk , for instance the indicator function of the unit cube
[0, 1]d . By Theorem 2.9, there exist two Brenier maps ∇Φ1 and ∇Φ2 which transport p onto
f and p onto g, respectively. Since Φ1 is a convex function, it admits an Alexandrov Hessian
(defined almost everywhere) ∇2A φ1 which is nonnegative definite. Similarly, for Φ2 and ∇2A φ2 .
The change of variable formula leads us to the Monge-Ampère equations
f (∇φ1 (x)) det(∇2A φ1 (x)) = 1, g(∇φ2 (x)) det(∇2A φ2 (x)) = 1
for almost all x ∈ [0, 1]d . Defining φ = (1 − λ)φ1 + λφ2 , one obtains
Z
h(y) dy
Rk
Z
≥ h(∇φ(x)) det(∇2A φ(x)) dx
[0,1]d
(i)
Z  h i1−λ h iλ
≥ h (1 − λ)∇φ1 (x) + λ∇φ2 (x) det(∇2A φ1 (x)) det(∇2A φ2 (x)) dx
[0,1]d
(ii)
Z h i1−λ h iλ
≥ f (∇φ1 (x))1−λ g(∇φ2 (x))λ det(∇2A φ1 (x)) det(∇2A φ2 (x)) dx
[0,1]d
Z
(iii)
= 1 dx = 1
[0,1]d

where inequality (i) follows from the claim below, inequality (ii) uses the assumption on f, g
and h and the equality (iii) is a direct consequence of the above Monge-Ampère equations.
Claim. The function S ∈ S+ 7→ log det(S) ∈ [−∞, ∞) is a concave function on the convex
cone S+ of nonnegative definite symmetric matrices. 

The decisive trick of this proof is to take advantage of the concavity of log det, once it is
noticed that the Hessian of the convex function φ, which gives rise to the Brenier map ∇φ,
belongs to S+ .
As a corollary, one obtains the celebrated Brunn-Minkowski inequality.
74 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Corollary 13.2 (Brunn-Minkowski inequality). For all A, B compact subsets of Rk ,

vol1/d (A + B) ≥ vol1/d (A) + vol1/d (B)
R
1/d
where vol1/d (A) := A dx and A + B := {a + b; a ∈ A, b ∈ B}.

Proof. For any 0 ≤ λ ≤ 1, the functions f = 1A , g = 1B and h = 1[(1−λ)A+λB] satisfy

R R R
Theorem 13.1’s assumptions. Therefore, we have h ≥ ( f )1−λ ( g)λ which is vol((1 −
A
λ)A + λB) ≥ vol(A)1−λ vol(B)λ . It follows that vol(A + B) = vol((1 − λ) 1−λ + λ Bλ ) ≥
 1/d 1−λ  1/d λ
vol( 1−λ ) vol( Bλ )λ which is equivalent to vol1/d (A + B) ≥ vol1−λ(A)
A 1−λ vol (B)
λ . It
remains to optimize in λ. 

Appendix A. Tensorization of transport costs

During the proof of the tensorization property of transport-entropy inequalities at Propo-

sition 1.8, we made use of the following tensorization property of transport costs. A detailed
proof of this property in the literature being unknown to the authors, we find it useful to
present it here.
Proposition A.1. We assume that the cost functions c1 and c2 are lower semicontinous on
the products of polish spaces X1 × Y1 and X2 × Y2 , respectively. Then, for all ν ∈ P(Y1 × Y2 ),
µ1 ∈ P(X1 ) and µ2 ∈ P(X2 ), we have
Z
(65) Tc1 ⊕c2 (ν, µ1 ⊗ µ2 ) ≤ Tc1 (ν1 , µ1 ) + Tc2 (ν2y1 , µ2 ) dν1 (y1 )
Y1

where ν disintegrates as follows: dν(y1 , y2 ) = dν1 (y1 )dν2y1 (y2 ).

Proof. One first faces a nightmare of notation. It might be helpful to introduce random
variables and see π ∈ P(X × Y) = P(X1 × X2 × Y1 × Y2 ) as the law of (X1 , X2 , Y1 , Y2 ). One
denotes π1 = L(X1 , Y1 ), π2x1 ,y1 L(X2 , Y2 |X1 = x1 , Y1 = y1 ), πX
x1 ,y1
2
= L(X2 |X1 = x1 , Y1 = y1 ),
x1 ,y1
πY2 = L(Y2 |X1 = x1 , Y1 = y1 ), πX = L(X1 , X2 ), πY = L(Y1 , Y2 ) and so on.
Let us denote Π(ν, µ) the set of all π ∈ P(X × Y) such that πX = ν and πY = µ, Π1 (ν1 , µ1 )
the set of all η ∈ P(X1 × Y1 ) such that ηX1 = ν1 and ηY1 = µ1 and Π2 (ν2 , µ2 ) the set of all
η ∈ P(X2 × Y2 ) such that ηX2 = ν2 and ηY2 = µ2 .
We only consider couplings π such that under the law π
• L(X1 , X2 ) = ν,
• L(Y1 , Y2 ) = µ,
• Y1 and X2 are independent conditionally on X1 and
• X1 and Y2 are independent conditionally on Y1 .
By the definition of the optimal cost, optimizing over this collection of couplings leads us to
Z
Tc (ν, µ) ≤ inf ⋄ c1 ⊕ c2 (x1 , y1 , x2 , y2 ) dπ1 (x1 , y1 )dπ2x1 ,y1 (x2 , y2 )
π1 ,π2

where the infimum is taken over all π1 ∈ Π1 (ν1 , µ1 ) and all Markov kernels π2⋄ = (π2x1 ,y1 ; x1 ∈
X1 , y1 ∈ Y1 ) such that π2x1 ,y1 ∈ Π2 (νX
x1
2
, µyY12 ) for π1 -almost every (x1 , y1 ). As µ is a tensor
 TRANSPORT INEQUALITIES 75

product: µ = µ1 ⊗ µ2 , we have µyY12 = µ2 , π1 -a.e. so that π2x1 ,y1 ∈ Π2 (νX x1

2
, µ2 ) for π1 -almost
every (x1 , y1 ).
We obtain
Z
Tc (ν, µ) ≤ inf ⋄ c1 ⊕ c2 (x1 , y1 , x2 , y2 ) dπ1 (x1 , y1 )dπ2x1 ,y1 (x2 , y2 )
π1 ,π2
Z Z Z 
= inf c1 dπ1 + inf⋄ c2 (x2 , y2 )dπ2x1 ,y1 (x2 , y2 ) dπ1 (x1 , y1 )
π1 X ×Y π2 X1 ×Y1 X2 ×Y2
Z 1 1 Z  Z  
(a) x1 ,y1
= inf c1 dπ1 + inf c2 (x2 , y2 )dπ2 (x2 , y2 ) dπ1 (x1 , y1 )
π1 X1 ×Y1 X1 ×Y1 π2⋄ X2 ×Y2
Z Z 
(b) x1

= inf c1 dπ1 + Tc2 νX2 , µ2 dπ1 (x1 , y1 )
π1 X1 ×Y1 X1 ×Y1
Z  Z
x1
= inf c1 dπ1 + Tc2 (νX 2
, µ2 ) dν1 (x1 )
π1 X1 ×Y1 X1
Z
x1
= Tc1 (ν1 , µ1 ) + Tc2 (νX 2
, µ2 ) dν1 (x1 )
X1

which is the desired result. R

Equality (a) is not that obvious. First of all, one is allowed to commute inf π2⋄ and X1 ×Y1 since
π2⋄ lives in a rich enough family for being able to optimize separately
R for each (x1 , y1 ). But also,
one must check that after commuting, the integrand inf π2⋄ X2 ×Y2 c2 (x2 , y2 )dπ2x1 ,y1 (x2 , y2 ) is
measurable as a function of (x1 , y1 ). But for each fixed (x1 , y1 ), this integrand is the optimal
x1
transport cost Tc2 (νX 2
, µ2 ) (this is the content of equality (b)). Now, with the Kantorovich
dual equality (15), one sees that Tc is a lower semicontinuous function as the supremum
of a family of continuous functions. A fortiori, Tc2 is measurable on P(X2 ) × P(Y2 ) and
x1
(x1 , y1 ) 7→ Tc2 (νX 2
, µ2 ) is also measurable as a composition of measurable functions (use the
polish assumption for the existence of measurable Markov kernels). This completes the proof
of the proposition. 

Let us have a look at another tensorization result which appears in [57]. On the polish
Q
product space X (n) := ni=1 Xi , consider the cost function
n
X
⊕i ci (x, y) := c(xi , yi ), x, y ∈ X (n)
i=1

where for each index i, ci is lower semicontinuous on Xi2 . Let (Xi )1≤i≤n be the canonical
Q ei = (Xj )1≤j≤n;j6=i is the configuration without its
process on X (n) = ni=1 Xi . For each i, X
value at index i. Given a probability measure ν on X (n) ,
ei = x
νixei = ν(Xi ∈ ·|X ei )
ei = x
denotes the regular conditional distribution of Xi knowing that X ei under ν and
νi = ν(Xi ∈ ·)
denotes the i-th marginal of ν.
76 NATHAEL GOZLAN, CHRISTIAN LÉONARD
Nn
Proposition A.2. Let µ = i=1 µi be a product probability measure on X (n) . For all ν ∈
P(X (n) ), !
Z n
X
T⊕ci (ν, µ) ≤ Tci (νixei , µi ) dν(x).
X (n) i=1

Proof. • A first sketch. QnLet (W i )1≤i≤n = (Ui , Vi )1≤i≤n be a sequence of random variables
2
taking their values in i=1 Xi which is defined on some probability space (Ω, P) so that it
realizes T⊕cP
i (ν, µ). This means that the law of U = (Ui )1≤i≤n is ν, the law of V = (Vi )1≤i≤n
is µ and E i ci (Ui , Vi ) = T⊕ci (ν, µ).
Let i be a fixed index. There exists a couple of random variables W ci := (U
bi , Vbi ) such that
its conditional law given e ei ) = W fi := (Wj )j6=i is a coupling of ν and µVei , and P-a.s.,
Uei
 e (Uie, V  i i
b b f Ui Vi
E[ci (Ui , Vi )|Wi ] = Tci νi , µi . This implies
 
(66) Eci (U bi , Vbi ) = ETc ν Uei , µVei .
i i i
h i
Clearly, (U ei , U
bi ); (Vei , Vbi ) is a coupling of (ν, µ). The optimality of W gives us
P P 
E j cj (Uj , Vj ) ≤ E cj (U j , Vj ) + ci (Ubi , Vbi ) which boils down to
j6=i
 
(67) Eci (Ui , Vi ) ≤ Eci (U bi , Vbi ) = ETc ν Uei , µVei
i i i

where the equality is (66). Summing over all the indices i, we see that
n
X n
X  e e
T⊕ci (ν, µ) = E ci (Ui , Vi ) ≤ E Tci νiUi , µVi i .
i=1 i=1
e
As µ is a product measure, we have µVi i = µi , P-almost surely and we obtain
Z X n
T⊕ci (ν, µ) ≤ Tci (νixei , µi ) dν(x)
X (n) i=1

which is the announced result.

• Completion of the proof. This first part is an incomplete proof, since one faces a mea-
surability problem when constructing the conditional optimal coupling W ci := (Ubi , Vbi ). This
measurability is needed to take the expectation in (66). More precisely, it is true that for
each value w fi , there exists a coupling W
ei of W ci (w̃i ) of ν uei and µvei . But the dependence in w ei
i i
c c f
must be Borel measurable for Wi = Wi (Wi ) to be a random variable.
One way to circumvent this problem is to proceed as in Proposition A.1. The important
features of this proof are:
(1) The Markov kernels νiuei and µviei are built with conditional independence properties
as in Proposition A.1’s proof. More precisely
• Vei and Ui are independent conditionally on U ei and
e e
• Ui and Vi are independent conditionally on Vi .
These kernels admit measurable versions since the state space is polish.
 TRANSPORT INEQUALITIES 77

(2) The measurability is not required at the level of the optimal coupling but only through
the optimal cost.
This leads us to (67). We omit the details of the proof which is a variation on Proposition
A.1’s proof with another “nightmare of notation”. 

Proposition A.2 differs from Marton’s original result [78] which requires an ordering of the
indices.

Appendix B. Variational representations of the relative entropy

At Section 3, we took great advantage of the variational representations of Tc and the

relative entropy. Here, we give a proof of the variational representation formulae (25) and
(26) of the relative entropy.
Proposition B.1. For all ν ∈ P(X ),
Z Z 
u
H(ν|µ) = sup u dν − log e dµ; u ∈ Cb (X ) .
(68) Z Z 
u
= sup u dν − log e dµ; u ∈ Bb (X )

and for all ν ∈ P(X ) such that ν ≪ µ,

Z Z Z Z 
u u
(69) H(ν|µ) = sup u dν − log e dµ; u : measurable, e dµ < ∞, u− dν < ∞
R R
where u− = (−u) ∨ 0 and u dν ∈ (−∞, ∞] is well-defined for all u such that u− dν < ∞.

Proof. Once we have (69), (68) follows by standard approximation arguments.

The proof of (69) relies on Fenchel inequality for the convex function h(t) = t log t − t + 1:
st ≤ (t log t − t + 1) + (es − 1)
for all s ∈ [−∞, ∞), t ∈ [0, ∞), with the conventions 0 log 0 = 0, e−∞ = 0 and −∞ × 0 = 0
which are legitimated by limiting procedures. The equality is attained when t = es .
dν
Taking s = u(x), t = dµ (x)
and integrating with respect to µ leads us to
Z Z
u dν ≤ H(ν|µ) + (eu − 1) dµ,
R
whose terms are meaningful with values in (−∞, ∞], provided that u− dν < ∞. Formally,
dν
the case of equality corresponds to dµ = eu . With the monotone convergence theorem, one
dν
sees that it is approached by the sequence un = log( dµ ∨ e−n ), as n tends to infinity. This
R R u R u
gives us H(ν|µ) = sup u dν − (e − 1) dµ; u : e dµ < ∞, inf u > −∞ , which in turn
implies that
Z Z Z Z 
H(ν|µ) = sup u dν − (eu − 1) dµ; u : eu dµ < ∞, u− dν < ∞ ,
R R
since the integral log(dν/dµ) dν = h(dν/dµ) dµ ∈ [0, ∞] is well-defined.
78 NATHAEL GOZLAN, CHRISTIAN LÉONARD

Now, we take advantage of the unit mass of ν ∈ P(X ) :

Z Z Z Z
(u+b) b
(u + b) dν − (e − 1) dµ = u dν − e eu dµ + b + 1, b ∈ R,

and we use the easy identity log a = inf b∈R {aeb − b − 1} to obtain
Z Z  Z Z
(u+b)
sup (u + b) dν − (e − 1) dµ = u dν − log eu dµ.
b∈R
Whence,
Z Z Z Z 
u u
sup u dν − (e − 1) dµ; u : e dµ < ∞, u− dν < ∞
Z Z Z Z 
(u+b) u
= sup (u + b) dν − (e − 1) dµ; b ∈ R, u : e dµ < ∞, u− dν < ∞
Z Z Z Z 
= sup u dν − log eu dµ; u : eu dµ < ∞, u− dν < ∞ .

This completes the proof of (69). 

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Société Mathématique de France, Paris, 2000.
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Laboratoire d’analyse et mathématiques appliquées, UMR CNRS 8050. Université Paris Est.
5 bd Descartes, 77454 Marne la Vallée, France
E-mail address: nathael.gozlan@univ-mlv.fr

Modal-X. Université Paris Ouest. Bât. G, 200 av. de la République. 92001 Nanterre, France
E-mail address: christian.leonard@u-paris10.fr