Well-posedness and long time behavior of singular Langevin stochastic differential equations

DOI10.1016/J.SPA.2019.06.001zbMATH Open1457.60102OpenAlexW2963466975MaRDI QIDQ1986006FDOQ1986006

Authors Renming Song, Longjie Xie 

Publication date 7 April 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.05086

zbMATH Keywords

exponential ergodicityLangevin equationpathwise uniquenessKrylov's estimate

Mathematics Subject Classification ID

Ergodicity, mixing, rates of mixing (37A25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Singular stochastic partial differential equations (60H17)

Abstract: In this paper, we study damped Langevin stochastic differential equations with singular velocity fields. We prove the strong well-posedness of such equations. Moreover, by combining the technique of Lyapunov functions with Krylov's estimate, we also establish the exponential ergodicity for the unique strong solution.

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Cited In (6)

• Quasi-stationary distribution for Hamiltonian dynamics with singular potentials
• Global \({L}_p\) estimates for kinetic Kolmogorov-Fokker-Planck equations in nondivergence form
• A class of Langevin equations with Markov switching involving strong damping and fast switching
• Exponential ergodicity of L\'{e}vy driven Langevin dynamics with singular potentials
• The Smoluchowski-Kramers limits of stochastic differential equations with irregular coefficients
• Sharp convex generalizations of stochastic Gronwall inequalities

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