Reflection couplings and contraction rates for diffusions
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Abstract: We consider contractivity for diffusion semigroups w.r.t. Kantorovich ( 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.
Reflection coupling for diffusions were first introduced by \textit{T. Lindvall} and \textit{L. C. G. Rogers} [Ann. Probab. 14, 860--872 (1986; Zbl 0593.60076)] for a class of diffusions in \(\mathbb{R}^d\), and later extended to diffusions on Riemannian manifolds by \textit{W. S. Kendall} [J. Funct. Anal. 86, No. 2, 226--236 (1989; Zbl 0684.60060)] and \textit{M. Cranston} [J. Funct. Anal. 99, No. 1, 110--124 (1991; Zbl 0770.58038)]. The consequences of a successful coupling are numerous, amongst which quantitative estimates for convergence to equilibrium, when the latter holds. Wasserstein-type spaces of measures are usually used for quantifying this convergence. A number of variants can be used, by replacing the function \(\mu\mapsto \mu^p\), that appears in the definition of the Wasserstein distance, by other functions. Taking \(u\mapsto 1_{(0,\infty)}(u)\) gives for instance the total variation distance; another choice is to work with \(u\mapsto f(u)\), for some concave increasing function \(f\). Denote by \(W_f\) the associated Wasserstein-type distance on measures in \(\mathbb{R}^d\). The author shows that for diffusions in \(\mathbb{R}^d\) with additive noise, one can cook out from the coefficients of the equation two explicit functions \(K\) and \(f\), and a positive constant \(c\), such that \[ W_f(\mu p_t,\nu p_t)\leq e^{-ct}W_f(\mu,\nu) \] for all probability measures \(\mu\), \(\nu\) on \(\mathbb{R}^d\), under some explicit, checkable conditions on \(K\) near \(0^+\) and \(+\infty\). Consequences of this inequality are given.
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