Explicit contraction rates for a class of degenerate and infinite-dimensional diffusions
Abstract
Given a separable and real Hilbert space and a trace-class, symmetric and non-negative operator , 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 is a -Wiener process on and is Lipschitz. We assume there is a splitting of into a finite-dimensional space and its orthogonal complement such that is strictly positive definite on and the non-linearity admits a contraction property on . Assuming a geometric drift condition, we derive a Kantorovich ( Wasserstein) contraction with an explicit rate for the corresponding Markov kernels. The estimates for the rate are based on the eigenvalues of on the space , a Lipschitz bound on 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