Reflection couplings and contraction rates for diffusions (Q343793): Difference between revisions

Reflection coupling for diffusions were first introduced by \textit{T. Lindvall} and \textit{L. C. G. Rogers} [Ann. Probab. 14, 860--872 (1986; Zbl 0593.60076)] for a class of diffusions in \(\mathbb{R}^d\), and later extended to diffusions on Riemannian manifolds by \textit{W. S. Kendall} [J. Funct. Anal. 86, No. 2, 226--236 (1989; Zbl 0684.60060)] and \textit{M. Cranston} [J. Funct. Anal. 99, No. 1, 110--124 (1991; Zbl 0770.58038)]. The consequences of a successful coupling are numerous, amongst which quantitative estimates for convergence to equilibrium, when the latter holds. Wasserstein-type spaces of measures are usually used for quantifying this convergence. A number of variants can be used, by replacing the function \(\mu\mapsto \mu^p\), that appears in the definition of the Wasserstein distance, by other functions. Taking \(u\mapsto 1_{(0,\infty)}(u)\) gives for instance the total variation distance; another choice is to work with \(u\mapsto f(u)\), for some concave increasing function \(f\). Denote by \(W_f\) the associated Wasserstein-type distance on measures in \(\mathbb{R}^d\). The author shows that for diffusions in \(\mathbb{R}^d\) with additive noise, one can cook out from the coefficients of the equation two explicit functions \(K\) and \(f\), and a positive constant \(c\), such that \[ W_f(\mu p_t,\nu p_t)\leq e^{-ct}W_f(\mu,\nu) \] for all probability measures \(\mu\), \(\nu\) on \(\mathbb{R}^d\), under some explicit, checkable conditions on \(K\) near \(0^+\) and \(+\infty\). Consequences of this inequality are given.