Ornstein-Uhlenbeck processes on Lie groups

DOI10.1016/J.JFA.2008.05.004MaRDI QIDQ941412zbMATH OpenOpenAlexWikidataFDO

Authors Fabrice Baudoin, Josef Teichmann, Martin Hairer

Publication date 1 September 2008

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0711.2419

zbMATH Keywords

simulated annealingspectral gapLie grouphypo-eliptic diffusion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: We consider Ornstein-Uhlenbeck processes (OU-processes) associated to hypoelliptic diffusion processes on finite-dimensional Lie groups: let $mathcalL$ be a hypoelliptic, left-invariant ``sum of the squares-operator on a Lie group $G$ with associated Markov process $X$, then we construct OU-processes by adding negative horizontal gradient drifts of functions $U$. In the natural case $U(x)=-logp(1,x)$, where $p(1,x)$ is the density of the law of $X$ starting at identity $e$ at time $t=1$ with respect to the right-invariant Haar measure on $G$, we show the Poincar'e inequality by applying the Driver-Melcher inequality for ``sum of the squares operators on Lie groups. The resulting Markov process is called the natural OU-process associated to the hypoelliptic diffusion on $G$. We prove the global strong existence of these OU-type processes on $G$ under an integrability assumption on $U$. The Poincar'e inequality for a large class of potentials $U$ is then shown by a perturbation technique. These results are applied to obtain a hypoelliptic equivalent of standard results on cooling schedules for simulated annealing on compact homogeneous spaces $M$.

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Cited in

(10)

• Markov semigroups with hypocoercive-type generator in infinite dimensions: ergodicity and smoothing
• Spectral inequalities for operators on \(H\)-type groups
• Pseudo-differential operators and Markov semigroups on compact Lie groups
• Ergodicity of Markov semigroups with Hörmander type generators in infinite dimensions
• Ornstein-Uhlenbeck semi-groups on stratified groups
• Asymptotics for the heat kernel on H-type groups
• Linear and nonlinear dissipative dynamics
• Strong hypercontractivity and logarithmic Sobolev inequalities on stratified complex Lie groups
• Convergence to equilibrium for hypoelliptic non-symmetric Ornstein-Uhlenbeck-type operators
• Central limit theorems under special relativity

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