English

Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions

Probability 2017-02-01 v3

Abstract

Given a separable and real Hilbert space H\mathbb{H} and a trace-class, symmetric and non-negative operator G:HH\mathcal{G}:\mathbb{H}\rightarrow\mathbb{H}, we examine the equation \begin{align*} dX_t = -X_t\, dt + b(X_t) \, dt + \sqrt{2} \, dW_t, \qquad X_0=x\in\mathbb{H}, \end{align*} where (Wt)(W_t) is a G\mathcal{G}-Wiener process on H\mathbb{H} and b:HHb:\mathbb{H}\rightarrow\mathbb{H} is Lipschitz. We assume there is a splitting of H\mathbb{H} into a finite-dimensional space Hl\mathbb{H}^l and its orthogonal complement Hh\mathbb{H}^h such that G\mathcal{G} is strictly positive definite on Hl\mathbb{H}^l and the non-linearity bb admits a contraction property on Hh\mathbb{H}^h. Assuming a geometric drift condition, we derive a Kantorovich (L1L^1 Wasserstein) contraction with an explicit rate for the corresponding Markov kernels. The estimates for the rate are based on the eigenvalues of G\mathcal{G} on the space Hl\mathbb{H}^l, a Lipschitz bound on bb and a geometric drift condition. The results are derived using coupling methods.

Keywords

Cite

@article{arxiv.1605.07863,
  title  = {Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions},
  author = {Raphael Zimmer},
  journal= {arXiv preprint arXiv:1605.07863},
  year   = {2017}
}

Comments

To be published in 'Stoch PDE: Anal Comp'. The final publication is available at http://link.springer.com