Overdamped limit at stationarity for non-equilibrium Langevin diffusions

DOI10.1214/22-ECP447MaRDI QIDQ2078124zbMATH OpenFDO

Authors Pierre Monmarché, Mouad Ramil

Publication date 25 February 2022

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2110.01238

zbMATH Keywords

Langevin diffusionoverdamped limitstationary distributionsWasserstein distance

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: In this note, we establish that the stationary distribution of a possibly non-equilibrium Langevin diffusion converges, as the damping parameter goes to infinity (or equivalently in the Smoluchowski-Kramers vanishing mass limit), toward a tensor product of the stationary distribution of the corresponding overdamped process and of a Gaussian distribution.

Review text

The authors consider the Hamiltonian Langevin dynamics with damping on a torus, and recall that the limit in law of suitably scaled position process is the overdamped Langevin equation on the torus as the damping factor goes to infinity. The main result is that the stationary distribution of the former converges to a product of the stationary distribution of the latter and a Gaussian, with a precise bound on their difference in Wasserstein metric in terms of the damping factor. Some special cases are worked out in further detail.

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Cited in

(12)

• Stability of the overdamped Langevin equation in double-well potential
• Quasi-stationary distribution for the Langevin process in cylindrical domains. II: Overdamped limit
• Overdamped limit of generalized stochastic Hamiltonian systems for singular interaction potentials
• Convergence rates for nonequilibrium Langevin dynamics
• Limit behavior of the invariant measure for Langevin dynamics
• A weak overdamped limit theorem for Langevin processes
• L^2 geometric ergodicity for the kinetic Langevin process with non-equilibrium steady states
• Logarithmic Sobolev inequalities for non-equilibrium steady states
• A note on a Vlasov-Fokker-Planck equation with non-symmetric interaction
• Gradual convergence for Langevin dynamics on a degenerate potential
• Convergence rates for an adaptive biasing potential scheme from a Wasserstein optimization perspective
• Reflection coupling for unadjusted generalized Hamiltonian Monte Carlo in the nonconvex stochastic gradient case

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