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Convergence to equilibrium for rough differential equations Samy Tindel Purdue University Barcelona GSE Summer Forum 2017 Joint work with Aurlien Deya (Nancy) and Fabien Panloup (Angers) Samy T. (Purdue) Convergence to equilibrium


  1. Convergence to equilibrium for rough differential equations Samy Tindel Purdue University Barcelona GSE Summer Forum – 2017 Joint work with Aurélien Deya (Nancy) and Fabien Panloup (Angers) Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 1 / 23

  2. Outline Setting and main result 1 Convergence to equilibrium for diffusion processes 2 Poincaré inequality Coupling method Elements of proof 3 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 2 / 23

  3. Outline Setting and main result 1 Convergence to equilibrium for diffusion processes 2 Poincaré inequality Coupling method Elements of proof 3 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 3 / 23

  4. Definition of fBm Definition 1. A 1-d fBm is a continuous process X = { X t ; t ∈ R } such that X 0 = 0 and for H ∈ (0 , 1): X is a centered Gaussian process 2 ( | s | 2 H + | t | 2 H − | t − s | 2 H ) E [ X t X s ] = 1 d -dimensional fBm: X = ( X 1 , . . . , X d ), with X i independent 1-d fBm Variance of increments: E [ | δ X j st | 2 ] ≡ E [ | X j t − X j s | 2 ] = | t − s | 2 H Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 4 / 23

  5. Examples of fBm paths H = 0 . 35 H = 0 . 5 H = 0 . 7 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 5 / 23

  6. System under consideration Equation: dY t = b ( Y t ) dt + σ ( Y t ) dX t , t ≥ 0 (1) Coefficients: x ∈ R d �→ σ ( x ) ∈ R d × d smooth enough σ = ( σ 1 , . . . , σ d ) ∈ R d × d invertible σ − 1 ( x ) bounded uniformly in x X = ( X 1 , . . . , X d ) is a d -dimensional fBm, with H > 1 3 Resolution of the equation: Thanks to rough paths methods ֒ → Limit of Wong-Zakai approximations Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 6 / 23

  7. Illustration of ergodic behavior Equation with damping: dY t = − λ Y t dt + dX t Simulation: For 2 values of the parameter λ 0.8 4 3 0.4 2 1 0.0 0 −0.4 −1 0 2 4 6 8 10 0 2 4 6 8 10 Figure: H = 0 . 7, d = 1, λ = 0 . 1 Figure: H = 0 . 7, d = 1, λ = 3 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 7 / 23

  8. Coercivity assumption for b Hypothesis: for every v ∈ R d , one has � v , b ( v ) � ≤ C 1 − C 2 � v � 2 v ) v ( b Interpretation of the hypothesis: Outside of a compact K ⊂ R d , K ⊂ R 2 b ( v ) ≃ − λ v with λ > 0 Arbitrary behavior Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 8 / 23

  9. Ergodic results for equation (1) Brownian case: If X is a Brownian motion and b coercive Exponential convergence of L ( X t ) to invariant measure µ Markov methods are crucial See e.g Khashminskii, Bakry-Gentil-Ledoux Fractional Brownian case: If X is a fBm and b coercive Markov methods not available Existence and uniqueness of invariant measure µ , when H > 1 3 → Series of papers by Hairer et al. ֒ Rate of convergence to µ : ◮ When σ ≡ Id : Hairer ◮ When H > 1 2 and further restrictions on σ : Fontbona–Panloup Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 9 / 23

  10. Main result (loose formulation) Theorem 2. Let H > 1 3 , equation dY t = b ( Y t ) dt + σ ( Y t ) dX t Y unique solution with initial condition µ 0 µ unique invariant measure Then for all ε > 0 we have: t ) − µ � tv ≤ c ε t − ( 1 �L ( Y µ 0 8 − ε ) Remark: Subexponential (non optimal) rate of convergence This might be due to the correlation of increments for X Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 10 / 23

  11. Outline Setting and main result 1 Convergence to equilibrium for diffusion processes 2 Poincaré inequality Coupling method Elements of proof 3 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 11 / 23

  12. Outline Setting and main result 1 Convergence to equilibrium for diffusion processes 2 Poincaré inequality Coupling method Elements of proof 3 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 12 / 23

  13. Poincaré and convergence to equilibrium Theorem 3. Let X be a diffusion process. We assume: µ is a symmetrizing measure, with Dirichlet form E Poincaré inequality: Var µ ( f ) ≤ α E ( f ) Then the following inequality is satisfied: − 2 t � � Var µ ( P t f ) ≤ exp Var µ ( f ) α Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 13 / 23

  14. Comments on the Poincaré approach Remarks: Theorem 3 asserts that 1 ( d ) − → µ, exponentially fast X t The proof relies on identity ∂ t P t = LP t 2 ֒ → Hard to generalize to a non Markovian context One proves Poincaré with Lyapunov type techniques 3 ֒ → Coercivity enters into the picture Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 14 / 23

  15. Outline Setting and main result 1 Convergence to equilibrium for diffusion processes 2 Poincaré inequality Coupling method Elements of proof 3 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 15 / 23

  16. A general coupling result Proposition 4. Consider: Two processes { Z t ; t ≥ 0 } and { Z ′ t ; t ≥ 0 } A coupling (ˆ Z , ˆ Z ′ ) of ( Z , Z ′ ) We set � t ≥ 0; ˆ Z u = ˆ � τ = inf Z ′ u for all u ≥ t Then we have: �L ( Z t ) − L ( Z ′ t ) � tv ≤ 2 P ( τ > t ) Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 16 / 23

  17. Comments on the coupling method Proposition 4 is general, does not assume a Markov setting 1 ֒ → can be generalized (unlike Poincaré) In a Markovian setting 2 ֒ → Merging of paths a soon as they touch a 0 Merged path Path starting from a 0 Path starting from a 1 a 1 τ In our case 3 → We have to merge both Y , Y ′ and the noise ֒ Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 17 / 23

  18. Outline Setting and main result 1 Convergence to equilibrium for diffusion processes 2 Poincaré inequality Coupling method Elements of proof 3 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 18 / 23

  19. Algorithmic view of the coupling Merging positions of Y x and Y µ by coupling Success yes Stick solutions Y x and Y µ by a Girsanov shift of the noise no yes Success Estimate for the merging time τ no Wait in order to to have Y x and Y µ back in a compact Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 19 / 23

  20. Merging positions (1) Simplified setting: We start at t = 0, and consider d = 1 Effective coupling: We wish to consider y 0 , y 1 and h such that We have  dy 0 t = b ( y 0 t ) dt + σ ( y 0 t ) dX t  dy 1 t = b ( y 1 t ) dt + σ ( y 1 t ) dX t + h t dt  Merging condition: y 0 0 = a 0 , y 1 0 = a 1 and y 0 1 = y 1 1 Computation of the merging probability: Through Girsanov’s transform involving the shift h Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 20 / 23

  21. Merging positions (2) Generalization of the problem: We wish to consider a family { y ξ , h ξ ; ξ ∈ [0 , 1] } such that We have dy ξ t = b ( y ξ t ) dt + σ ( y ξ t ) dX t + h ξ t dt Merging condition: h 0 ≡ 0 y ξ y 0 1 = y 1 0 = a 0 + ξ ( a 1 − a 0 ) , 1 , Remark: Here y has to be considered as a function of 2 variables t and ξ Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 21 / 23

  22. Merging positions (3) Solution of the problem: Consider a system with tangent process � ξ  dy ξ � b ( y ξ 0 d η  η � dt + σ ( y ξ t = t ) − t ) dX t  t d  ξ t = b ′ ( y ξ t )  ξ t dt + σ ′ ( y ξ t )  ξ t dX t  and initial condition y ξ 0 = a 0 + ξ ( a 1 − a 0 ),  ξ 0 = a 1 − a 0 Heuristics: A simple integrating factor argument shows that ∂ ξ y ξ ∂ ξ y ξ t =  ξ t (1 − t ) , and thus 1 = 0 Hence y ξ solves the merging problem Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 22 / 23

  23. Merging positions (4) Rough system under consideration: for t , ξ ∈ [0 , 1] � ξ  � � dy ξ b ( y ξ 0 d η  η dt + σ ( y ξ t = t ) − t ) dX t  t d  ξ t = b ′ ( y ξ t )  ξ t dt + σ ′ ( y ξ t )  ξ t dX t  Then y ξ 1 does not depend on ξ ! Difficulties related to the system: t �→ y t is function-valued 1 Unbounded coefficients, thus local solution only 2 Conditioning = ⇒ additional drift term with singularities 3 Evaluation of probability related to Girsanov’s transform 4 Samy T. (Purdue) Convergence to equilibrium Barcelona 2017 23 / 23

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