Optimal linear drift for the speed of convergence of an hypoelliptic diffusion
Probability
2021-10-07 v4
Abstract
Among all generalized Ornstein-Uhlenbeck processes which sample the same invariant measure and for which the same amount of randomness (a -dimensional Brownian motion) is injected in the system, we prove that the asymptotic rate of convergence is maximized by a non-reversible hypoelliptic one.
Keywords
Cite
@article{arxiv.1604.07295,
title = {Optimal linear drift for the speed of convergence of an hypoelliptic diffusion},
author = {Arnaud Guillin and Pierre Monmarché},
journal= {arXiv preprint arXiv:1604.07295},
year = {2021}
}