Propagator norm and sharp decay estimates for Fokker-Planck equations with linear drift

DOI10.4310/CMS.2022.V20.N4.A5zbMATH Open1490.35493arXiv2003.01405OpenAlexW3010486203MaRDI QIDQ2129676FDOQ2129676

Christian Schmeiser, Anton Arnold, Beatrice Signorello

Publication date: 22 April 2022

Published in: Communications in Mathematical Sciences (Search for Journal in Brave)

Abstract: We are concerned with the short- and large-time behavior of the $L^2$-propagator norm of Fokker-Planck equations with linear drift, i.e. $partia{l}_{t}f=mathrm{div}_x(Dabl{a}_{x}f+Cxf)$. With a coordinate transformation these equations can be normalized such that the diffusion and drift matrices are linked as $D=C_S$, the symmetric part of $C$. The main result of this paper (Theorem 3.4) is the connection between normalized Fokker-Planck equations and their drift-ODE $dotx=-Cx$: Their $L^2$-propagator norms actually coincide. This implies that optimal decay estimates on the drift-ODE (w.r.t. both the maximum exponential decay rate and the minimum multiplicative constant) carry over to sharp exponential decay estimates of the Fokker-Planck solution towards the steady state. A second application of the theorem regards the short time behaviour of the solution: The short time regularization (in some weighted Sobolev space) is determined by its hypocoercivity index, which has recently been introduced for Fokker-Planck equations and ODEs (see [5, 1, 2]). In the proof we realize that the evolution in each invariant spectral subspace can be represented as an explicitly given, tensored version of the corresponding drift-ODE. In fact, the Fokker-Planck equation can even be considered as the second quantization of $dotx=-Cx$.

Full work available at URL: https://arxiv.org/abs/2003.01405

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zbMATH Keywords

Fokker-Planck equationlarge-time behaviorhypocoercivitysecond quantizationregularization ratesemigroup normsharp exponential decay

Mathematics Subject Classification ID

Markov semigroups and applications to diffusion processes (47D07) Asymptotic behavior of solutions to PDEs (35B40) Hypoelliptic equations (35H10) PDEs in connection with statistical mechanics (35Q82) Fokker-Planck equations (35Q84)

Cited In (7)

• Quasilinear approximations for the propagator of the Fokker-Planck equation
• The hypocoercivity index for the short time behavior of linear time-invariant ODE systems
• Kolmogorov equations for degenerate Ornstein-Uhlenbeck operators
• Sharpening of decay rates in Fourier based hypocoercivity methods
• Optimal non-symmetric Fokker-Planck equation for the convergence to a given equilibrium
• Exponential Stability and Hypoelliptic Regularization for the Kinetic Fokker–Planck Equation with Confining Potential
• Semigroup decay for the linearized kinetic ellipsoidal Fokker-Planck equation

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