On strong Feller property, exponential ergodicity and large deviations principle for stochastic damping Hamiltonian systems with state-dependent switching
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Publication:2020142
exponential ergodicitylarge deviation principlemartingale problemregime-switchingstochastic Hamiltonian systemstrong Feller property
Ergodicity, mixing, rates of mixing (37A25) Dynamical systems and their relations with probability theory and stochastic processes (37A50) Generation, random and stochastic difference and differential equations (37H10) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27) Diffusion processes (60J60)
Abstract: This work focuses on a class of stochastic damping Hamiltonian systems with state-dependent switching, where the switching process has a countably infinite state space. After establishing the existence and uniqueness of a global weak solution via the martingale approach under very mild conditions, the paper next proves the strong Feller property for regime-switching stochastic damping Hamiltonian systems by the killing technique together with some resolvent and transition probability identities. The commonly used continuity assumption for the switching rates in the literature is relaxed to measurability in this paper. Finally the paper provides sufficient conditions for exponential ergodicity and large deviations principle for regime-switching stochastic damping Hamiltonian systems. Several examples on regime-switching van der Pol and (overdamped) Langevin systems are studied in detail for illustration.
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