A probabilistic study of the kinetic Fokker-Planck equation in cylindrical domains

DOI10.1007/S00028-022-00796-5zbMATH Open1489.82060arXiv2010.10157OpenAlexW3093933594MaRDI QIDQ2128641FDOQ2128641

Julien Reygner, Tony Lelièvre, Mouad Ramil

Publication date: 22 April 2022

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Abstract: We consider classical solutions to the kinetic Fokker-Planck equation on a bounded domain $mathcalOsubsetmathbb{R}^d$ in position, and we obtain a probabilistic representation of the solutions using the Langevin diffusion process with absorbing boundary conditions on the boundary of the phase-space cylindrical domain $D=mathcalOimesmathbb{R}^d$. Furthermore, a Harnack inequality, as well as a maximum principle, is provided on $D$ for solutions to this kinetic Fokker-Planck equation, together with the existence of a smooth transition density for the associated absorbed Langevin process. This transition density is shown to satisfy an explicit Gaussian upper-bound. Finally, the continuity and positivity of this transition density at the boundary of $D$ is also studied. All these results are in particular crucial to study the behavior of the Langevin diffusion process when it is trapped in a metastable state defined in terms of positions.

Full work available at URL: https://arxiv.org/abs/2010.10157

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zbMATH Keywords

maximum principleHarnack inequalitytransition densityLangevin processkinetic Fokker-Planck equationGaussian upper-bound

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Maximum principles in context of PDEs (35B50) Smoothness and regularity of solutions to PDEs (35B65) Fokker-Planck equations (35Q84) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cited In (8)

• Quasi-stationary distribution for strongly Feller Markov processes by Lyapunov functions and applications to hypoelliptic Hamiltonian systems
• A voltage-conductance kinetic system from neuroscience: probabilistic reformulation and exponential ergodicity
• Exit time and principal eigenvalue of non-reversible elliptic diffusions
• Quasi-stationary distribution for the Langevin process in cylindrical domains. II: Overdamped limit
• Estimation of statistics of transitions and Hill relation for Langevin dynamics
• On the existence and asymptotic behavior of weak solution of the kinetic Fokker-Planck equation in a bounded domain with absorbing boundary
• Approximate models for stochastic dynamic systems with velocities on the sphere and associated Fokker-Planck equations
• Recent advances in the long-time analysis of killed degenerate processes and their particle approximation

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