English

Ergodicity of Langevin Processes with Degenerate Diffusion in Momentums

Probability 2008-04-10 v4

Abstract

This paper introduces a geometric method for proving ergodicity of degenerate noise driven stochastic processes. The driving noise is assumed to be an arbitrary Levy process with non-degenerate diffusion component (but that may be applied to a single degree of freedom of the system). The geometric conditions are the approximate controllability of the process the fact that there exists a point in the phase space where the interior of the image of a point via a secondarily randomized version of the driving noise is non void. The paper applies the method to prove ergodicity of a sliding disk governed by Langevin-type equations (a simple stochastic rigid body system). The paper shows that a key feature of this Langevin process is that even though the diffusion and drift matrices associated to the momentums are degenerate, the system is still at uniform temperature.

Keywords

Cite

@article{arxiv.0710.4259,
  title  = {Ergodicity of Langevin Processes with Degenerate Diffusion in Momentums},
  author = {Nawaf Bou-Rabee and Houman Owhadi},
  journal= {arXiv preprint arXiv:0710.4259},
  year   = {2008}
}

Comments

15 pages, to appear in International Journal of Pure and Applied Mathematics