Sticky couplings of multidimensional diffusions with different drifts

DOI10.1214/18-AIHP951zbMath1434.60213arXiv1612.06125OpenAlexW2984324961MaRDI QIDQ2291973

Raphael Zimmer, Andreas Eberle

Publication date: 31 January 2020

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1612.06125

zbMATH Keywords

diffusion processstochastic stabilityreflection couplingperturbations of Markov processesMcKean-Vlasovsticky boundary conditionstotal variation bounds

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (15)

Quantitative contraction rates for Markov chains on general state spaces ⋮ Thermalisation for small random perturbations of dynamical systems ⋮ Quantitative control of Wasserstein distance between Brownian motion and the Goldstein-Kac telegraph process ⋮ Coupling by reflection for controlled diffusion processes: turnpike property and large time behavior of Hamilton-Jacobi-Bellman equations ⋮ Functional convergence to the local time of a sticky diffusion ⋮ General diffusion processes as limit of time-space Markov chains ⋮ Wasserstein contraction and Poincaré inequalities for elliptic diffusions with high diffusivity ⋮ Exponential ergodicity for non-dissipative McKean-Vlasov SDEs ⋮ Wasserstein convergence rates for random bit approximations of continuous Markov processes ⋮ The cutoff phenomenon in total variation for nonlinear Langevin systems with small layered stable noise ⋮ A functional limit theorem for coin tossing Markov chains ⋮ Sticky Brownian Motion and Its Numerical Solution ⋮ Properties of the EMCEL scheme for approximating irregular diffusions ⋮ Couplings and quantitative contraction rates for Langevin dynamics ⋮ Propagation of chaos: a review of models, methods and applications. II: Applications

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Construction and analysis of a sticky reflected distorted Brownian motion
• Reflection couplings and contraction rates for diffusions
• Application of stochastic flows to the sticky Brownian motion equation
• Reflection coupling and Wasserstein contractivity without convexity
• On the variation distance for probability measures defined on a filtered space
• Coupling of multidimensional diffusions by reflection
• The martingale problem with sticky reflection conditions, and a system of particles interacting at the boundary
• Sticky Brownian motion as the strong limit of a sequence of random walks
• A comparison theorem for solutions of stochastic differential equations and its applications
• Coupling methods for multidimensional diffusion processes
• Strong Feller property of sticky reflected distorted Brownian motion
• Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions
• Estimation of the first eigenvalue of second order elliptic operators
• Couplings and quantitative contraction rates for Langevin dynamics
• The Kantorovich and variation distances between invariant measures of diffusions and nonlinear stationary Fokker-Planck-Kolmogorov equations
• Multidimensional sticky Brownian motions as limits of exclusion processes
• Coupling for some partial differential equations driven by white noise
• A stochastic differential equation with a sticky point
• Gradient estimates for diffusion semigroups with singular coefficients
• A. Skorohod's stochastic integral equation for a reflecting barrier diffusion
• On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions
• On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions. II
• Multidimensional diffusion processes.
• Distances between transition probabilities of diffusions and applications to nonlinear Fokker-Planck-Kolmogorov equations
• The general diffusion operator and positivity preserving semigroups in one dimension
• Stochastic differential equations for sticky Brownian motion
• On Weak Solutions of Stochastic Differential Equations II
• Probability for Statistics and Machine Learning
• On Weak Solutions of Stochastic Differential Equations
• Estimation of spectral gap for elliptic operators
• On the construction of two-dimensional diffusion processes satisfying Wentzell’s boundary conditions and its application to boundary value problems
• Hellinger integrals of diffusion processes
• Sticky Brownian motion as the limit of storage processes
• Quantitative Harris-type theorems for diffusions and McKean–Vlasov processes
• On the strong convergence, contiguity and entire separation of diffusion processes
• Stochastic Equations for Diffusion Processes in a Bounded Region. II
• Diffusion processes with boundary conditions
• Diffusion Processes in One Dimension
• Probability theory. A comprehensive course
• Optimal Transport

This page was built for publication: Sticky couplings of multidimensional diffusions with different drifts