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

DOI10.11606/ISSN.2316-9028.V2I1P21-28zbMATH Open1192.37087arXiv0704.3393OpenAlexW2155568681WikidataQ107155543 ScholiaQ107155543MaRDI QIDQ2390109FDOQ2390109

Authors: D. Gomes, A. O. Lopes 

Publication date: 20 July 2009

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

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.

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

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zbMATH Keywords

exponential decaystationary sochastic process

Mathematics Subject Classification ID

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

Cited In (1)

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

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