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Convergence in Wasserstein Distance for Empirical Measures of Dirichlet Diffusion Processes on Manifolds

Probability 2022-04-11 v3

Abstract

Let MM be a dd-dimensional connected compact Riemannian manifold with boundary M\partial M, let VC2(M)V\in C^2(M) such that μ(dx):=eV(x)dx\mu({\rm d} x):={\rm e}^{V(x)}{\rm d} x is a probability measure, and let XtX_t be the diffusion process generated by L:=Δ+VL:=\Delta+\nabla V with τ:=inf{t0:XtM}\tau:=\inf\{t\ge 0: X_t\in\partial M\}. Consider the empirical measure μt:=1t0tδXsds\mu_t:=\frac 1 t \int_0^t \delta_{X_s}{\rm d} s under the condition t<τt<\tau for the diffusion process. If d3d\le 3, then for any initial distribution not fully supported on M\partial M, \begin{align*} &c\sum_{m=1}^\infty \frac{2}{(\lambda_m-\lambda_0)^2} \le \liminf_{t\to \infty} \inf_{T\ge t} \Big\{t {\mathbb E}\big[\mathbb W_2(\mu_t, \mu_0)^2\big|T<\tau\big]\Big\} \\ &\le \limsup_{t\to \infty} \sup_{T\ge t} \Big\{ t \mathbb E\big[\mathbb W_2(\mu_t, \mu_0)^2\big|T<\tau\big] \Big\}\le \sum_{m=1}^\infty \frac{2}{(\lambda_m-\lambda_0)^2}\end{align*} holds for some constant c(0,1]c\in (0,1] with c=1c=1 when M\partial M is convex, where μ0:=ϕ02μ\mu_0:= \phi_0^2\mu for the first Dirichet eigenfunction ϕ0\phi_0 of LL, {λm}m0\{\lambda_m\}_{m\ge 0} are the Dirichlet eigenvalues of L-L listed in the increasing order counting multiplicities, and the upper bound is finite if and only if d3d\le 3. When d=4d=4, supTtE[W2(μt,μ0)2T<τ]\sup_{T\ge t} \mathbb E\big[\mathbb W_2(\mu_t, \mu_0)^2\big|T<\tau\big] decays in the order t1logtt^{-1}\log t, while for d5d\ge 5 it behaves like t2d2t^{-\frac 2 {d-2}}, as tt\to\infty.

Keywords

Cite

@article{arxiv.2005.09290,
  title  = {Convergence in Wasserstein Distance for Empirical Measures of Dirichlet Diffusion Processes on Manifolds},
  author = {Feng-Yu Wang},
  journal= {arXiv preprint arXiv:2005.09290},
  year   = {2022}
}

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27 pages