Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation

DOI10.1214/13-AIHP591zbMATH Open1329.60281arXiv1302.1651MaRDI QIDQ902882FDOQ902882

Gilles Pagès, V. Lemaire, Fabien Panloup

Publication date: 4 January 2016

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Abstract: With a view to numerical applications we address the following question: given an ergodic Brownian diffusion with a unique invariant distribution, what are the invariant distributions of the duplicated system consisting of two trajectories? We mainly focus on the interesting case where the two trajectories are driven by the same Brownian path. Under this assumption, we first show that uniqueness of the invariant distribution (weak confluence) of the duplicated system is essentially always true in the one-dimensional case. In the multidimensional case, we begin by exhibiting explicit counter-examples. Then, we provide a series of weak confluence criterions (of integral type) and also of a.s. pathwise confluence, depending on the drift and diffusion coefficients through a non-infinitesimal Lyapunov exponent. As examples, we apply our criterions to some non-trivially confluent settings such as classes of gradient systems with non-convex potentials or diffusions where the confluence is generated by the diffusive component. We finally establish that the weak confluence property is connected with an optimal transport problem. As a main application, we apply our results to the optimization of the Richardson-Romberg extrapolation for the numerical approximation of the invariant measure of the initial ergodic Brownian diffusion.

Full work available at URL: https://arxiv.org/abs/1302.1651

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zbMATH Keywords

central limit theoremoptimal transportEuler schemeinvariant measureLyapunov exponenthypoellipticityconfluenceasymptotic flatnessgradient systemergodic diffusionRichardson-Romberg extrapolationBrownian path

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Variational problems in a geometric measure-theoretic setting (49Q20) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Stationary stochastic processes (60G10) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (6)

• Non-asymptotic Gaussian estimates for the recursive approximation of the invariant distribution of a diffusion
• Weighted multilevel Langevin simulation of invariant measures
• Lyapunov exponents and synchronisation by noise for systems of SPDEs
• Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation
• Synchronization by noise
• Constructing Sampling Schemes via Coupling: Markov Semigroups and Optimal Transport

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