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Let

  • $h\in C^2(\mathbb R)$ with $$h''\ge\rho\tag1$$ for some $\rho>0$ and $$\int\underbrace{e^{-h}}_{=:\:\varrho}\:{\rm d}\lambda=1$$
  • $\mu$ be the measure with density $\varrho$ with respect to the Lebesgue measure $\lambda$ on $(\mathbb R,\mathcal B(\mathbb R))$
  • $(X^x_t)_{(t,\:x)\in[0,\:\infty)\times\mathbb R}$ be a continuous process on a probability space $(\Omega,\mathcal A,\operatorname P)$ with $$X^x_t=x+\int_0^t\frac12(\ln\varrho)'(X^x_s)\:{\rm d}s+W_t\;\;\;\text{for all }t\ge0\text{ almost surely for all }x\in\mathbb R\tag2$$ for some Brownian motion $(W_t)_{t\ge0}$ on $(\Omega,\mathcal A,\operatorname P)$,$$\kappa_t(x,B):=\operatorname P\left[X^x_t\in B\right]\;\;\;\text{for }(x,B)\in\mathbb R\times\mathcal B(\mathbb R)$$ and $$\kappa_tf:=\int\kappa_t(\;\cdot\;,{\rm d}y)f(y)$$ for Borel measurable $f:\mathbb R\to\mathbb R$ with $\kappa_t|f|<\infty$ for $t\ge0$

Now, let $$\Gamma(f):=\frac12|f'|^2\;\;\;\text{for }f\in C^1(\mathbb R)$$ and $$Lf:=-\frac12h'f'+\frac12f''\;\;\;\text{for }f\in C^2(\mathbb R).$$

How can we show that $$\Gamma(\kappa_tf)\le e^{-\rho t}\kappa_t(\Gamma(f))\tag3$$ for all $f$ belonging to a suitable class $\mathcal C$ of functions $f:\mathbb R\to\mathbb R$ (I hope for $\mathcal C=C_c^\infty(\mathbb R)$) for all $t\ge0$?

We know that $(\kappa_t)_{t\ge0}$ is a strongly continuous contraction semigroup on $C_0(\mathbb R)$. If $(\mathcal D(A),A)$ is the corresponding generator, then $$\tilde{\mathcal D}(A):=\left\{f\in C_0(\mathbb R)\cap C_b^2(\mathbb R):Lf\in C_0(\mathbb R)\right\}\subseteq\mathcal D(A)$$ and $$\left.A\right|_{\tilde{\mathcal D}(A)}=\left.L\right|_{\tilde{\mathcal D}(A)}\tag4.$$ Moreover, $\mu$ is reversible (and hence invariant) with respect to $(\kappa_t)_{t\ge0}$. By $(1)$, $$\Gamma_2(f):=\frac14(|f''|^2+h''|f'|^2)\ge\frac\rho2\Gamma(f)\;\;\;\text{for all }f\in C_c^\infty(\mathbb R)\tag5.$$

In order for $(3)$ to make sense, we need to prove that $\kappa_tf$ belongs to the domain of $\Gamma$ (otherwise, the left-hand side would be undefined) for all $f\in\mathcal C$ and $t\ge0$.

We know that $$(\kappa_tf)(x)=f(x)+\int_0^t\left(\kappa_s\left(Lf\right)\right)(x)\:{\rm d}s\;\;\;\text{for all }(t,x)\in[0,\infty)\times\mathbb R\tag6$$ for all $f\in C_b^2(\mathbb R)$.

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