English

Exponential mixing properties for time inhomogeneous diffusion processes with killing

Probability 2016-03-22 v3

Abstract

We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of Rd\mathbb{R}^d with a smooth boundary. The process is killed when it hits the boundary of the domain (hard killing) or after an exponential time (soft killing) associated with some bounded rate function. The branching particle interpretation of the non absorbed diffusion again behaves as a set of interacting particles evolving in an absorbing medium. Between absorption times, the particles evolve independently one from each other according to the diffusion semigroup; when a particle is absorbed, another selected particle splits into two offsprings. This article is concerned with the stability properties of these non absorbed processes. Under some classical ellipticity properties on the diffusion process and some mild regularity properties of the hard obstacle boundaries, we prove an uniform exponential strong mixing property of the process conditioned to not be killed. We also provide uniform estimates w.r.t. the time horizon for the interacting particle interpretation of these non-absorbed processes, yielding what seems to be the first result of this type for this class of diffusion processes evolving in soft and hard obstacles, both in homogeneous and non-homogeneous time settings.

Keywords

Cite

@article{arxiv.1412.2627,
  title  = {Exponential mixing properties for time inhomogeneous diffusion processes with killing},
  author = {Pierre Del Moral and Denis Villemonais},
  journal= {arXiv preprint arXiv:1412.2627},
  year   = {2016}
}

Comments

25 pages. The introduction has been developped in order to highlight the particular difficulties of coupling methods applied to conditioned processes. The main proof has been reorganized in order to the simplify the presentation

R2 v1 2026-06-22T07:23:49.523Z