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

DOI10.1016/J.SPA.2023.04.006zbMATH Open1523.60131arXiv2009.10828MaRDI QIDQ6157005FDOQ6157005

Authors: Pierre Monmarché 

Publication date: 19 June 2023

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

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.

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

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zbMATH Keywords

Wasserstein curvatureBakry-Émery calculusgeneralized Langevin diffusions

Mathematics Subject Classification ID

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

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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
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• \(L^2\)-Wasserstein contraction for Euler schemes of elliptic diffusions and interacting particle systems
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• Sub-exponential convergence to equilibrium for Gaussian driven stochastic differential equations with semi-contractive drift
• Functional inequalities for a family of infinite-dimensional diffusions with degenerate noise
• Quantitative Harris-type theorems for diffusions and McKean-Vlasov processes
• Contraction rate estimates of stochastic gradient kinetic Langevin integrators

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