Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes

DOI10.1214/20-EJP577zbMATH Open1469.35031OpenAlexW3159161388MaRDI QIDQ2042872FDOQ2042872

Authors: Thomas Cass, M. Ottobre, Dan Crisan, Paul W. Dobson 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We study the long time behaviour of a large class of diffusion processes on $R^N$, generated by second order differential operators of (possibly) degenerate type. The operators that we consider {em need not} satisfy the H"ormander condition. Instead, they satisfy the so-called UFG condition, introduced by Herman, Lobry and Sussman in the context of geometric control theory and later by Kusuoka and Stroock, this time with probabilistic motivations. In this paper we study UFG diffusions and demonstrate the importance of such a class of processes in several respects: roughly speaking i) we show that UFG processes constitute a family of SDEs which exhibit multiple invariant measures and for which one is able to describe a systematic procedure to determine the basin of attraction of each invariant measure (equilibrium state). ii) We use an explicit change of coordinates to prove that every UFG diffusion can be, at least locally, represented as a system consisting of an SDE coupled with an ODE, where the ODE evolves independently of the SDE part of the dynamics. iii) As a result, UFG diffusions are inherently "less smooth" than hypoelliptic SDEs; more precisely, we prove that UFG processes do not admit a density with respect to Lebesgue measure on the entire space, but only on suitable time-evolving submanifolds, which we describe. iv) We show that our results and techniques, which we devised for UFG processes, can be applied to the study of the long-time behaviour of non-autonomous hypoelliptic SDEs and therefore produce several results on this latter class of processes as well. v) Because processes that satisfy the (uniform) parabolic H"ormander condition are UFG processes, our paper contains a wealth of results about the long time behaviour of (uniformly) hypoelliptic processes which are non-ergodic, in the sense that they exhibit multiple invariant measures.

Full work available at URL: https://arxiv.org/abs/1805.01350

Recommendations

• Pointwise gradient bounds for degenerate semigroups (of UFG type)
• On unique ergodicity for degenerate diffusions
• The ergodic problem for some subelliptic operators with unbounded coefficients
• Periodic homogenization for hypoelliptic diffusions
• Dynamics for a stochastic degenerate parabolic equation

zbMATH Keywords

stochastic control theorydiffusion semigroupsUFG conditiondistributions with non-constant ranknon-ergodic SDEsprocesses with multiple invariant measuresHörmander condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Asymptotic behavior of solutions to PDEs (35B40) Smoothness and regularity of solutions to PDEs (35B65) Second-order parabolic equations (35K10) Generation, random and stochastic difference and differential equations (37H10) Existence of optimal solutions to problems involving randomness (49J55) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic systems in control theory (general) (93E03) One-parameter semigroups and linear evolution equations (47D06)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Analysis and geometry of Markov diffusion operators
• Asymptotic analysis for the generalized Langevin equation
• Asymptotic behavior and hypercontractivity in non-autonomous Ornstein-Uhlenbeck equations
• Contrôlabilité des Systèmes non Linéaires
• Cubature methods and applications
• Cubature on Wiener space
• Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction
• Diffusion limit for the random walk Metropolis algorithm out of stationarity
• Ergodic Properties of Markov Processes
• Ergodicity for a stochastic geodesic equation in the tangent bundle of the 2D sphere.
• Ergodicity of Markov semigroups with Hörmander type generators in infinite dimensions
• How hot can a heat bath get?
• Hypercontractivity and asymptotic behavior in nonautonomous Kolmogorov equations
• Hypocoercivity
• Hypoelliptic non-homogeneous diffusions
• Hypoelliptic second order differential equations
• Irreversible Langevin samplers and variance reduction: a large deviations approach
• Kusuoka-Stroock gradient bounds for the solution of the filtering equation
• Malliavin calculus with time dependent coefficients and application to nonlinear filtering
• Malliavin's stochastic calculus of variations for manifold-valued Wiener functionals and its applications
• Markov chain Monte Carlo and irreversibility
• Markov semigroups with hypocoercive-type generator in infinite dimensions: ergodicity and smoothing
• Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
• Nonautonomous Kolmogorov parabolic equations with unbounded coefficients
• On Malliavin's proof of Hörmander's theorem
• On the convergence rates of a general class of weak approximations of SDEs
• Orbits of Families of Vector Fields and Integrability of Distributions
• Pointwise gradient bounds for degenerate semigroups (of UFG type)
• Sharp derivative bounds for solutions of degenerate semi-linear partial differential equations
• Short and long time behavior of the Fokker-Planck equation in a confining potential and applications
• Spectral properties of hypoelliptic operators
• Stratified Lie Groups and Potential Theory for their Sub-Laplacians
• Time dependent Malliavin calculus on manifolds and application to nonlinear filtering
• Variance reduction for irreversible Langevin samplers and diffusion on graphs
• Variance reduction using nonreversible Langevin samplers
• Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing

Cited In (4)

• Efficient Bayesian Computation for Low-Photon Imaging Problems
• Convergence of nonequilibrium Langevin dynamics for planar flows
• Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
• Pointwise gradient bounds for degenerate semigroups (of UFG type)

This page was built for publication: Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2042872)