Quasi-stationary distribution for the Langevin process in cylindrical domains. I: Existence, uniqueness and long-time convergence

DOI10.1016/J.SPA.2021.11.005MaRDI QIDQ2066964zbMATH OpenOpenAlexFDO

Authors Mouad Ramil, Julien Reygner, Tony Lelièvre

Publication date 17 January 2022

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

Full work available at URL https://arxiv.org/abs/2101.11999

zbMATH Keywords

compactnessLangevin processquasi-stationary distributionspectral decomposition

Mathematics Subject Classification ID

General topics in linear spectral theory for PDEs (35P05) PDEs with randomness, stochastic partial differential equations (35R60) Linear operators defined by compactness properties (47B07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: Consider the Langevin process, described by a vector (position,momentum) in $mathbb{R}^{d}imesmathbb{R}^d$. Let $mathcalO$ be a $mathcal{C}^2$ open bounded and connected set of $mathbb{R}^d$. We prove the compactness of the semigroup of the Langevin process absorbed at the boundary of the domain $D:=mathcalOimesmathbb{R}^d$. We then obtain the existence of a unique quasi-stationary distribution (QSD) for the Langevin process on $D$. We also provide a spectral interpretation of this QSD and obtain an exponential convergence of the Langevin process conditioned on non-absorption towards the QSD.

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Cited in

(14)

• A probabilistic study of the kinetic Fokker-Planck equation in cylindrical domains
• Quasi-stationary distribution for the Langevin process in cylindrical domains. II: Overdamped limit
• Non-reversible metastable diffusions with Gibbs invariant measure. II: Markov chain convergence
• Quasi-stationary distribution for Hamiltonian dynamics with singular potentials
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• Weak and Perron solutions for stationary Kramers-Fokker-Planck equations in bounded domains
• Nonlinear denoising score matching for enhanced learning of structured distributions
• Degenerate processes killed at the boundary of a domain

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