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2016 Optimal linear drift for the speed of convergence of an hypoelliptic diffusion
Arnaud Guillin, Pierre Monmarché
Electron. Commun. Probab. 21: 1-14 (2016). DOI: 10.1214/16-ECP25

Abstract

Among all generalized Ornstein-Uhlenbeck processes which sample the same invariant measure and for which the same amount of randomness (a $N$-dimensional Brownian motion) is injected in the system, we prove that the asymptotic rate of convergence is maximized by a non-reversible hypoelliptic one.

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Arnaud Guillin. Pierre Monmarché. "Optimal linear drift for the speed of convergence of an hypoelliptic diffusion." Electron. Commun. Probab. 21 1 - 14, 2016. https://doi.org/10.1214/16-ECP25

Information

Received: 25 April 2016; Accepted: 6 October 2016; Published: 2016
First available in Project Euclid: 27 October 2016

zbMATH: 1354.60084
MathSciNet: MR3568348
Digital Object Identifier: 10.1214/16-ECP25

Subjects:
Primary: 35K10, 60J60, 65C05

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