JKO schemes with general transport costs

We modify the JKO scheme, which is a time discretization of the Wasserstein gradient flow, by replacing the Wasserstein distance with more general transport costs on manifolds. We show when the cost function has a mixed Hessian which defines a Riemannian metric, our modified JKO scheme converges, under suitable conditions, to the corresponding Riemannian Fokker-Planck equation. Thus on a Riemannian manifold one may replace the (squared) Riemannian distance with any cost function which induces the metric. Of interest is when the Riemannian distance is computationally intractable, but a suitable cost has a simple analytic expression. We consider the Fokker-Planck equation on compact submanifolds with the Neumann boundary condition and on complete Riemannian manifolds with a finite drift condition. As an application we consider Hessian manifolds, taking as a cost the Bregman divergence.