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$L^{\infty}$-convergence to a quasi-stationary distribution

Probability 2022-10-26 v1 Analysis of PDEs

Abstract

For general absorbed Markov processes (Xt)0t<τ(X_t)_{0\leq t<\tau_{\partial}} having a quasi-stationary distribution (QSD) π\pi and absorption time τ\tau_{\partial}, we introduce a Dobrushin-type criterion providing for exponential convergence in L(π)L^{\infty}(\pi) as tt\rightarrow\infty of the density dLμ(Xtτ>t)dπ\frac{d\mathcal{L}_{\mu}(X_t\lvert \tau_{\partial}>t)}{d\pi}. We establish this for all initial conditions μ\mu, possibly mutually singular with respect to π\pi, under an additional ``anti-Dobrushin'' condition. This relies on inequalities we obtain comparing Lμ(Xtτ>t)\mathcal{L}_{\mu}(X_t\lvert \tau_{\partial}>t) with the QSD π\pi, uniformly over all initial conditions and over the whole space, under the aforementioned conditions. On a PDE level, these probabilistic criteria provide a parabolic boundary Harnack inequality (with an additional caveat) for the corresponding Kolmogorov forward equation. In addition to hypoelliptic settings, these comparison inequalities are thereby obtained in a setting where the corresponding Fokker-Planck equation is first order, with the possibility of discontinuous solutions. As a corollary, we obtain a sufficient condition for a submarkovian transition kernel to have a bounded, positive right eigenfunction, without requiring that any operator is compact. We apply the above to the following examples (with absorption): Markov processes on finite state spaces, degenerate diffusions satisfying parabolic H\"{o}rmander conditions, 1+11+1-dimensional Langevin dynamics, random diffeomorphisms, 22-dimensional neutron transport dynamics, and certain piecewise-deterministic Markov processes. In the last case, convergence to a QSD was previously unknown for any notion of convergence. Our proof is entirely different to earlier work, relying on consideration of the time-reversal of an absorbed Markov process.

Keywords

Cite

@article{arxiv.2210.13581,
  title  = {$L^{\infty}$-convergence to a quasi-stationary distribution},
  author = {Oliver Tough},
  journal= {arXiv preprint arXiv:2210.13581},
  year   = {2022}
}

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77 pages