Almost sure contraction for diffusions on R^d. Application to generalized Langevin diffusions

DOI10.1016/J.SPA.2023.04.006MaRDI QIDQ6157005zbMATH OpenFDO

Authors Pierre Monmarché

Publication date 19 June 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.10828

zbMATH Keywords

Wasserstein curvatureBakry-Émery calculusgeneralized Langevin diffusions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Diffusion processes (60J60)

Abstract: In the case of diffusions on $mathbb{R}^d$ with constant diffusion matrix, without assuming reversibility nor hypoellipticity, we prove that the contractivity of the deterministic drift is equivalent to the constant rate contraction of Wasserstein distances $mathcal{W}_p$, $pin[1,infty]$. It also implies concentration inequalities for ergodic means of the process. Such a contractivity property is then established for some non-equilibrium chains of anharmonic oscillators and for some generalised Langevin diffusions when the potential is convex with bounded Hessian and the friction is sufficiently high. This extends previous known results for the usual (kinetic) Langevin diffusion.

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Cited in

(16)

• Contraction and convergence rates for discretized kinetic Langevin dynamics
• On the contraction of fast driving variables from stochastic processes.
• Reflection couplings and contraction rates for diffusions
• An entropic approach for Hamiltonian Monte Carlo: the idealized case
• Reflection coupling and Wasserstein contractivity without convexity
• Optimal friction matrix for underdamped Langevin sampling
• Kinetic Langevin MCMC sampling without gradient Lipschitz continuity -- the strongly convex case
• Wasserstein contraction and Poincaré inequalities for elliptic diffusions with high diffusivity
• Strict Kantorovich contractions for Markov chains and Euler schemes with general noise
• Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift
• Wasserstein contraction for the stochastic Morris-Lecar neuron model
• Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions
• \(L^2\)-Wasserstein contraction for Euler schemes of elliptic diffusions and interacting particle systems
• Quantitative Harris-type theorems for diffusions and McKean-Vlasov processes
• Functional inequalities for a family of infinite-dimensional diffusions with degenerate noise
• Contraction rate estimates of stochastic gradient kinetic Langevin integrators

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