Introduction

The goal of this course (given in 2009 in Grenoble) is to introduce inequalities as Poincaré or logarithmic Sobolev for diffusion semigroups. We will focus more on examples than on the general theory. A main tool to obtain those inequalities is the so-called Bakry–Emery Γ2-criterion. This criterion is well known to prove such inequalities and has also been used many times for other problems; see, for instance, [BÉ85, Bak06]. We will focus on the example of the Ornstein–Uhlenbeck semigroup and on the Γ2-criterion.

In Section 3.2 we investigate the main example of the Ornstein–Uhlenbeck semigroup, whereas in Section 3.3 we show how the Γ2-criterion implies such inequalities. In Section 3.4 we will explain an alternative method to get a logarithmic Sobolev inequality under curvature assumption. It is called the mass transportation method and has been introduced recently; see [CE02, OV00, CENV04, Vil09]. In this way we will also obtain another inequality called the Talagrand inequality or T2inequality.

The Ornstein–Uhlenbeck semigroup and the Gaussian measure

In the general setting, if (Xt)t≥0 is a Markov process on ℝn, then the family of operators

Pt(f)(x) = E(f (Xt)),

where X0 = x and a smooth function f, is defined as a Markov semigroup on ℝn. There are two main examples. The first one is the heat semigroup, which is associated with the Brownian motion on ℝn.