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

DOI10.1016/J.SPA.2019.06.001zbMATH Open1457.60102arXiv1804.05086OpenAlexW2963466975MaRDI QIDQ1986006FDOQ1986006

Authors: Renming Song, Longjie Xie 

Publication date: 7 April 2020

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

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.

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

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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)

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Cited In (4)

• Quasi-stationary distribution for Hamiltonian dynamics with singular potentials
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• The Smoluchowski-Kramers limits of stochastic differential equations with irregular coefficients
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