Reflection couplings and contraction rates for diffusions

DOI10.1007/S00440-015-0673-1zbMATH Open1367.60099arXiv1305.1233OpenAlexW3098512007WikidataQ125908273 ScholiaQ125908273MaRDI QIDQ343793FDOQ343793

Authors: Andreas Eberle 

Publication date: 29 November 2016

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: We consider contractivity for diffusion semigroups w.r.t. Kantorovich ($L^1$ Wasserstein) distances based on appropriately chosen concave functions. These distances are inbetween total variation and usual Wasserstein distances. It is shown that by appropriate explicit choices of the underlying distance, contractivity with rates of close to optimal order can be obtained in several fundamental classes of examples where contractivity w.r.t. standard Wasserstein distances fails. Applications include overdamped Langevin diffusions with locally non-convex potentials, products of these processes, and systems of weakly interacting diffusions, both of mean-field and nearest neighbour type.

Full work available at URL: https://arxiv.org/abs/1305.1233

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zbMATH Keywords

stationaritydiffusion processesconcave distance functionsreflection couplingsWasserstein distances

Mathematics Subject Classification ID

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

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