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2017 Hypoelliptic multiscale Langevin diffusions: large deviations, invariant measures and small mass asymptotics
Wenqing Hu, Konstantinos Spiliopoulos
Electron. J. Probab. 22: 1-38 (2017). DOI: 10.1214/17-EJP72

Abstract

We consider a general class of hypoelliptic Langevin diffusions and study two related questions. The first question is large deviations for hypoelliptic multiscale diffusions as the noise and the scale separation parameter go to zero. The second question is small mass asymptotics of (a) the invariant measure corresponding to the hypoelliptic Langevin operator and of (b) related hypoelliptic Poisson equations. The invariant measure corresponding to the hypoelliptic problem and appropriate hypoelliptic Poisson equations enter the large deviations rate function due to the multiscale effects. Based on the small mass asymptotics we derive that the large deviations behavior of the multiscale hypoelliptic diffusion is consistent with the large deviations behavior of its overdamped counterpart. Additionally, we rigorously obtain an asymptotic expansion of the solution to relevant hypoelliptic Poisson equations with respect to the mass parameter, characterizing the order of convergence as the mass parameter goes to zero. The proof of convergence of invariant measures is of independent interest, as it involves an improvement of the hypocoercivity result for the kinetic Fokker-Planck equation. We do not restrict attention to gradient drifts and our proof provides explicit information on the dependence of the bounds of interest in terms of the mass parameter.

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Wenqing Hu. Konstantinos Spiliopoulos. "Hypoelliptic multiscale Langevin diffusions: large deviations, invariant measures and small mass asymptotics." Electron. J. Probab. 22 1 - 38, 2017. https://doi.org/10.1214/17-EJP72

Information

Received: 7 April 2016; Accepted: 26 May 2017; Published: 2017
First available in Project Euclid: 30 June 2017

zbMATH: 1368.60027
MathSciNet: MR3672831
Digital Object Identifier: 10.1214/17-EJP72

Subjects:
Primary: 35H10, 60F10, 60G99, 60H10

JOURNAL ARTICLE
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