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2021 Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes
Thomas Cass, Dan Crisan, Paul Dobson, Michela Ottobre
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Electron. J. Probab. 26: 1-72 (2021). DOI: 10.1214/20-EJP577

Abstract

We study the long time behaviour of a large class of diffusion processes on RN, generated by second order differential operators of (possibly) degenerate type. The operators that we consider need not satisfy the Hörmander Condition (HC). Instead, they satisfy the so-called UFG condition, introduced by Herman, Lobry and Sussman in the context of geometric control theory and later by Kusuoka and Stroock. We demonstrate the importance of the class of UFG processes in several respects: i) we show that UFG processes constitute a family of SDEs which exhibit, in general, multiple invariant measures (i.e. they are in general non-ergodic) and for which one is able to describe a systematic procedure to study the basin of attraction of each invariant measure (equilibrium state). ii) We use an explicit change of coordinates to prove that every UFG diffusion can be, at least locally, represented as a system consisting of an SDE coupled with an ODE, where the ODE evolves independently of the SDE part of the dynamics. iii) As a result, UFG diffusions are inherently “less smooth” than hypoelliptic SDEs; more precisely, we prove that UFG processes do not admit a density with respect to Lebesgue measure on the entire space, but only on suitable time-evolving submanifolds, which we describe. iv) We show that our results and techniques, which we devised for UFG processes, can be applied to the study of the long-time behaviour of non-autonomous hypoelliptic SDEs and therefore produce several results on this latter class of processes as well. v) Because processes that satisfy the (uniform) parabolic HC are UFG processes, this paper contains a wealth of results about the long time behaviour of (uniformly) hypoelliptic processes which are non-ergodic.

Acknowledgments

P. Dobson was supported by the Maxwell Institute Graduate School in Analysis and its Applications (MIGSAA), a Centre for Doctoral Training funded by the UK Engineering and Physical Sciences Research Council (grant EP/L016508/01), the Scottish Funding Council, Heriot–Watt University and the University of Edinburgh. This work was partially supported by the grant 346300 for IMPAN from the Simons Foundation and the matching 2015–2019 Polish MNiSW fund.

Citation

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Thomas Cass. Dan Crisan. Paul Dobson. Michela Ottobre. "Long-time behaviour of degenerate diffusions: UFG-type SDEs and time-inhomogeneous hypoelliptic processes." Electron. J. Probab. 26 1 - 72, 2021. https://doi.org/10.1214/20-EJP577

Information

Received: 2 February 2020; Accepted: 23 December 2020; Published: 2021
First available in Project Euclid: 23 March 2021

Digital Object Identifier: 10.1214/20-EJP577

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