Reflection coupling and Wasserstein contractivity without convexity
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For a class of diffusions with constant diffusion coefficients, it is shown that the Wasserstein distance defined in terms of a suitable concave distance measure between the diffusion with two different initial conditions decays at least as fast as a certain exponential. The proof uses ``coupling by reflection. Examples illustrate that the bound is sharp.
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Cites work
- Coupling methods for multidimensional diffusion processes
- Coupling of multidimensional diffusions by reflection
- Estimation of spectral gap for elliptic operators
- Functional Integration and Partial Differential Equations. (AM-109)
- Spectral gaps in Wasserstein distances and the 2D stochastic Navier-Stokes equations
Cited in
(47)- Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
- Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions
- Convergence to equilibrium in Wasserstein distance for Fokker-Planck equations
- On the diffusive-mean field limit for weakly interacting diffusions exhibiting phase transitions
- Asymptotics of smoothed Wasserstein distances
- Strict Kantorovich contractions for Markov chains and Euler schemes with general noise
- Lower bound for the coarse Ricci curvature of continuous-time pure-jump processes
- Exponential convergence in the Wasserstein metric W₁ for one dimensional diffusions
- Exponential contraction in Wasserstein distances for diffusion semigroups with negative curvature
- Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions
- On sub-geometric ergodicity of diffusion processes
- Refined basic couplings and Wasserstein-type distances for SDEs with Lévy noises
- Sticky couplings of multidimensional diffusions with different drifts
- Couplings and quantitative contraction rates for Langevin dynamics
- Exponential ergodicity for Markov processes with random switching
- Error bounds for Metropolis-Hastings algorithms applied to perturbations of Gaussian measures in high dimensions
- Quantitative contraction rates for Markov chains on general state spaces
- Nonasymptotic bounds for sampling algorithms without log-concavity
- Subexponential upper and lower bounds in Wasserstein distance for Markov processes
- \(L^{p}\)-Wasserstein distance for stochastic differential equations driven by Lévy processes
- Exponential convergence in L^p-Wasserstein distance for diffusion processes without uniformly dissipative drift
- scientific article; zbMATH DE number 1004225 (Why is no real title available?)
- Reflection couplings and contraction rates for diffusions
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- Hypocoercivity properties of adaptive Langevin dynamics
- Large time behaviors of upwind schemes and \(B\)-schemes for Fokker-Planck equations on \(\mathbb{R}\) by jump processes
- On the Poincaré constant of log-concave measures
- An elementary approach to uniform in time propagation of chaos
- Numerical computations of geometric ergodicity for stochastic dynamics
- Using coupling methods to estimate sample quality of stochastic differential equations
- scientific article; zbMATH DE number 2247650 (Why is no real title available?)
- Ergodicity and long-time behavior of the Random Batch Method for interacting particle systems
- Almost sure contraction for diffusions on \(\mathbb{R}^d\). Application to generalized Langevin diffusions
- Phase transitions, logarithmic Sobolev inequalities, and uniform-in-time propagation of chaos for weakly interacting diffusions
- Wasserstein contraction and Poincaré inequalities for elliptic diffusions with high diffusivity
- An entropic approach for Hamiltonian Monte Carlo: the idealized case
- Exponential contraction rates for a class of degenerate SDEs with Lévy noises
- Geometric ergodicity of SGLD via reflection coupling
- Computable bounds on convergence of Markov chains in Wasserstein distance via contractive drift
- A note on the uniform ergodicity of diffusion processes
- Exponential ergodicity of branching processes with immigration and competition
- Error estimates between SGD with momentum and underdamped Langevin diffusion
- Transportation inequalities for stochastic differential equations of pure jumps
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