Exponential decay or correlation for the stochastic process associated to the entropy penalized method

DOI10.11606/ISSN.2316-9028.V2I1P21-28MaRDI QIDQ2390109zbMATH OpenOpenAlexWikidataFDO

Authors D. Gomes, A. O. Lopes

Publication date 20 July 2009

Published in São Paulo Journal of Mathematical Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International

Full work available at URL https://arxiv.org/abs/0704.3393

zbMATH Keywords

exponential decaystationary sochastic process

Mathematics Subject Classification ID

Applications of statistics to physics (62P35) Stationary stochastic processes (60G10)

Abstract: In this paper we present an upper bound for the decay of correlation for the stationary stochastic process associated with the Entropy Penalized Method. Let $L(x,v):T{t}^{n}imesR{r}^{n}oRr$ be a Lagrangian of the form L(x,v) = {1/2}|v|^2 - U(x) + < P, v>. For each value of $epsilon$ and $h$, consider the operator Gg[phi](x):= -epsilon h {ln}[int_{ e^N} e ^{-frac{hL(x,v)+phi(x+hv)}{epsilon h}}dv], as well as the reversed operator �ar Gg[phi](x):= -epsilon h {ln}[int_{ e^N} e^{-frac{hL(x+hv,-v)+phi(x+hv)}{epsilon h}}dv], both acting on continuous functions $phi:T{t}^{n}oRr$. Denote by $ph{i}_{epsilon,h}$ the solution of $Gg[ph{i}_{epsilon,h}]=ph{i}_{epsilon,h}+lambd{a}_{epsilon,h}$, and by $$ the solution of $$. In order to analyze the decay of correlation for this process we show that the operator $calL(phi)(x)=int{e}^{-frachL(x,v)epsilon}phi(x+hv)dv,$ has a maximal eigenvalue isolated from the rest of the spectrum.

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Cited in

(1)

• The mather measure and a large deviation principle for the entropy penalized method

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