Exponential mixing properties for time inhomogeneous diffusion processes with killing
| hal.structure.identifier | Quality control and dynamic reliability [CQFD] | |
| hal.structure.identifier | School of Mathematics and statistics [Sydney] | |
| dc.contributor.author | DEL MORAL, Pierre | |
| hal.structure.identifier | TO Simulate and CAlibrate stochastic models [TOSCA] | |
| hal.structure.identifier | Probabilités et statistiques | |
| dc.contributor.author | VILLEMONAIS, Denis | |
| dc.date.accessioned | 2024-04-04T03:15:03Z | |
| dc.date.available | 2024-04-04T03:15:03Z | |
| dc.date.issued | 2018-01 | |
| dc.identifier.issn | 1350-7265 | |
| dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/194118 | |
| dc.description.abstractEn | We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of $\mathbb{R}^d$ with a smooth boundary. The process is killed when it hits the boundary of the domain (hard killing) or after an exponential time (soft killing) associated with some bounded rate function. The branching particle interpretation of the non absorbed diffusion again behaves as a set of interacting particles evolving in an absorbing medium. Between absorption times, the particles evolve independently one from each other according to the diffusion semigroup; when a particle is absorbed, another selected particle splits into two offsprings. This article is concerned with the stability properties of these non absorbed processes. Under some classical ellipticity properties on the diffusion process and some mild regularity properties of the hard obstacle boundaries, we prove an uniform exponential strong mixing property of the process conditioned to not be killed. We also provide uniform estimates w.r.t. the time horizon for the interacting particle interpretation of these non-absorbed processes, yielding what seems to be the first result of this type for this class of diffusion processes evolving in soft and hard obstacles, both in homogeneous and non-homogeneous time settings. | |
| dc.language.iso | en | |
| dc.publisher | Bernoulli Society for Mathematical Statistics and Probability | |
| dc.rights.uri | http://creativecommons.org/licenses/by/ | |
| dc.subject.en | uniform mixing property | |
| dc.subject.en | process with absorption | |
| dc.subject.en | time-inhomogeneous diffusion process | |
| dc.title.en | Exponential mixing properties for time inhomogeneous diffusion processes with killing | |
| dc.type | Article de revue | |
| dc.identifier.doi | 10.3150/16-BEJ845 | |
| dc.subject.hal | Mathématiques [math]/Probabilités [math.PR] | |
| dc.identifier.arxiv | 1412.2627 | |
| bordeaux.journal | Bernoulli | |
| bordeaux.page | 1010-1032 | |
| bordeaux.volume | 24 | |
| bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
| bordeaux.issue | 2 | |
| bordeaux.institution | Université de Bordeaux | |
| bordeaux.institution | Bordeaux INP | |
| bordeaux.institution | CNRS | |
| bordeaux.peerReviewed | oui | |
| hal.identifier | hal-01083297 | |
| hal.version | 1 | |
| hal.popular | non | |
| hal.audience | Internationale | |
| hal.origin.link | https://hal.archives-ouvertes.fr//hal-01083297v1 | |
| bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Bernoulli&rft.date=2018-01&rft.volume=24&rft.issue=2&rft.spage=1010-1032&rft.epage=1010-1032&rft.eissn=1350-7265&rft.issn=1350-7265&rft.au=DEL%20MORAL,%20Pierre&VILLEMONAIS,%20Denis&rft.genre=article |
Fichier(s) constituant ce document
| Fichiers | Taille | Format | Vue |
|---|---|---|---|
|
Il n'y a pas de fichiers associés à ce document. |
|||