Exponential convergence in L^p-Wasserstein distance for diffusion processes without uniformly dissipative drift

DOI10.1002/MANA.201500351MaRDI QIDQ2830673zbMATH OpenOpenAlexFDO

Authors Jian Wang, Dejun Luo

Publication date 28 October 2016

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1407.1986

zbMATH Keywords

\(L^p\)-Wasserstein distancecouplingdiffusion processesexponential convergencereflectionstochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Abstract: By adopting the coupling by reflection and choosing an auxiliary function which is convex near infinity, we establish the exponential convergence of diffusion semigroups $(P_t{)}_{tge0}$ with respect to the standard $L^p$-Wasserstein distance for all $pin[1,infty)$. In particular, we show that for the It^o stochastic differential equation ${\displaystyle }$d X_t=d B_t+b(X_t),d t,${\displaystyle }$ if the drift term $b$ satisfies that for any $x,yin{R}^d$, ${\displaystyle }$langle b(x)-b(y),x-y anglele �egin{cases} K_1|x-y|^2,& |x-y|le L; -K_2|x-y|^2,& |x-y|> L end{cases}${\displaystyle }$ holds with some positive constants $K_1$, $K_2$ and $L>0$, then there is a constant $lambda:=lambda(K_1,K_2,L)>0$ such that for all $pin[1,infty)$, $t>0$ and $x,yin{R}^d$, ${\displaystyle }$W_p(delta_x P_t,delta_y P_t)leq Ce^{-lambda t/p} �egin{cases} |x-y|^{1/p}, & mbox{if } |x-y|le 1; |x-y|, & mbox{if } |x-y|> 1. end{cases}${\displaystyle }$ where $C:=C(K_1,K_2,L,p)$ is a positive constant. This improves the main result in cite{Eberle} where the exponential convergence is only proved for the $L^1$-Wasserstein distance.

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Cited in

(35)

• Convergence in Wasserstein distance for self-stabilizing diffusion evolving in a double-well landscape
• Evolution of the Wasserstein distance between the marginals of two Markov processes
• Convergence in variation of solutions of nonlinear Fokker-Planck-Kolmogorov equations to stationary measures
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