Optimal linear drift for the speed of convergence of an hypoelliptic diffusion

Published 25 Apr 2016 in math.PR | (1604.07295v4)

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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