The present paper is devoted to the study of the asymptotic behavior of the value functions of both finite and infinite horizon stochastic control problems and to the investigation of their relation with suitable stochastic ergodic control problems. Our methodology is based only on probabilistic techniques, as for instance the so-called randomization of the control method, thus avoiding completely analytical tools from the theory of viscosity solutions. We are then able to treat with the case where the state process takes values in a general (possibly infinite dimensional) real separable Hilbert space and the diffusion coefficient is allowed to be degenerate.
In this paper, the weak Harris theorem developed in \cite{HMS11} is illustrated by using a straightforward Wasserstein coupling, which implies the exponential ergodicity of the functional solutions to a range of neutral type SDEs with infinite length of memory. A concrete example is presented to illustrate the main result.
In this paper we show irreducibility and the strong Feller property for transition probabilities of stochastic differential equations with jumps and monotone coefficients. Thus, exponential ergodicity and the spectral gap for the corresponding transition semigroups are obtained.
The aim of this paper is to introduce several new particle representations for \textit{ergodic} McKean-Vlasov SDEs. We construct new algorithms by leveraging recent progress in weak convergence analysis of interacting particle system. We present detailed analysis of errors and associated costs of various estimators, highlighting key differences between long-time simulations of linear (classical SDEs) versus non-linear (Mckean-Vlasov SDEs) process.
We consider SDEs driven by multiplicative pure jump Lévy noises, where Lévy processes are not necessarily comparable to $α$-stable-like processes. By assuming that the SDE has a unique solution, we obtain gradient estimates of the associated semigroup when the drift term is locally Hölder continuous, and we establish the ergodicity of the process both in the $L^1$-Wasserstein distance and the total variation, when the coefficients are dissipative for large distances. The proof is based on a new explicit Markov coupling for SDEs driven by multiplicative pure jump Lévy noises, which is derived f…
We study stochastic differential equations (SDEs) of McKean-Vlasov type with distribution dependent drifts and driven by pure jump Lévy processes. We prove a uniform in time propagation of chaos result, providing quantitative bounds on convergence rate of interacting particle systems with Lévy noise to the corresponding McKean-Vlasov SDE. By applying techniques that combine couplings, appropriately constructed $L^1$-Wasserstein distances and Lyapunov functions, we show exponential convergence of solutions of such SDEs to their stationary distributions. Our methods allow us to obtain results th…
We demonstrate that stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H > 1/2 have similar ergodic properties as SDEs driven by standard Brownian motion. The focus in this article is on hypoelliptic systems satisfying Hörmander's condition. We show that such systems satisfy a suitable version of the strong Feller property and we conclude that they admit a unique stationary solution that is physical in the sense that it does not "look into the future". The main technical result required for the analysis is a bound on the moments of the inverse of…
In this note we consider autonomous SDEs admitting smooth invariant measures. We present a method in finding (almost everywhere) good bounds for $\sup \{\|X_t\|: t \in [0, T]\}$ for strong solutions $X_{\cdot}$ to such SDEs, which in many cases are optimal bounds. In some situation (especially in one-dimensional SDEs' cases), the discarded measure-zero set can be chosen to be a measure-zero set of the underlying Brownian motion uniform for all initial points $X_0=x$.
First, we establish an abstract ergodic result on $\mR^d$. Classical ergodic results on $\mR^d$ require that the process is irreducible, we weaken it to some weak form of irreducibility in this article. The main method used in this article is coupling. Then, we apply our abstract ergodic result to stochastic differential equations driven by a Lévy noise and obtain a new result.
By using the ultracontractivity of a reference diffusion semigroup, Krylov's estimate is established for a class of degenerate SDEs with singular drifts, which leads to existence and pathwise uniqueness by means of Zvonkin's transformation. The main result is applied to singular SDEs on generalized Heisenberg groups.
By constructing successful couplings, the derivative formula, gradient estimates and Harnack inequalities are established for the semigroup associated with a class of degenerate functional stochastic differential equations.
We prove existence and uniqueness of the invariant measure and exponential mixing in the total-variation norm for a class of stochastic differential equations driven by degenerate compound Poisson processes. In addition to mild assumptions on the distribution of the jumps for the driving process, the hypotheses for our main result are that the corresponding control system is dissipative, approximately controllable and solidly controllable. The solid controllability assumption is weaker than the well-known parabolic Hörmander condition and is only required from a single point to which the syste…
In this paper we prove a new strong uniqueness result and a weak existence result for possibly {\it degenerate} multidimensional stochastic differential equations with Sobolev diffusion coefficients and rough drifts. In particular, examples with Hölder diffusion coefficients are provided to show our results.
Constructions of numerous approximate sampling algorithms are based on the well-known fact that certain Gibbs measures are stationary distributions of ergodic stochastic differential equations (SDEs) driven by the Brownian motion. However, for some heavy-tailed distributions it can be shown that the associated SDE is not exponentially ergodic and that related sampling algorithms may perform poorly. A natural idea that has recently been explored in the machine learning literature in this context is to make use of stochastic processes with heavy tails instead of the Brownian motion. In this pape…
For degenerate stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H>1/2$, the derivative formulas are established by using Malliavin calculus and coupling method, respectively. Furthermore, we find some relation between these two approaches. As applications, the (log) Harnack inequalities and the hyperbounded property are presented.
We show the strong well-posedness of SDEs driven by general multiplicative Lévy noises with Sobolev diffusion and jump coefficients and integrable drift. Moreover, we also study the strong Feller property, irreducibility as well as the exponential ergodicity of the corresponding semigroup when the coefficients are time-independent and singular dissipative. In particular, the large jump is allowed in the equation. To achieve our main results, we present a general approach for treating the SDEs with jumps and singular coefficients so that one just needs to focus on Krylov's {\it apriori} estimat…
By using Bismut's approach about the Malliavin calculus with jumps, we study the regularity of the distributional density for SDEs driven by degenerate additive Lévy noises. Under full Hörmander's conditions, we prove the existence of distributional density and the weak continuity in the first variable of the distributional density. Under the uniform first order Lie's bracket condition, we also prove the smoothness of the density.
In many applications, it is often necessary to sample the mean value of certain quantity with respect to a probability measure μ on the level set of a smooth function $ξ: \mathbb{R}^d\rightarrow \mathbb{R}^k$, $1\le k < d$. A specially interesting case is the so-called conditional probability measure, which is useful in the study of free energy calculation and model reduction of diffusion processes. By Birkhoff's ergodic theorem, one approach to estimate the mean value is to compute the time average along an infinitely long trajectory of an ergodic diffusion process on the level set whose inva…
In this paper, the Harnack inequalities for $G$-SDEs with degenerate noise are derived by method of coupling by change of measure. Moreover, the gradient estimate for the associated nonlinear semigroup $\bar{P}_t$ $$|\nabla \bar{P}_t f|\leq c(p,t)(\bar{P}_t |f|^p)^{\frac{1}{p}}, \ \ p>1, t>0$$ is also obtained for bounded and continuous function $f$. As an application of Harnack inequality, we prove the weak existence of degenerate $G$-SDEs under some integrable conditions. Finally, an example is presented. All of the above results extends the existed results in the linear expectation setting.
We consider a stable driven degenerate stochastic differential equation, whose coefficients satisfy a kind of weak H{ö}rmander condition. Under mild smoothness assumptions we prove the uniqueness of the martingale problem for the associated generator under some dimension constraints. Also, when the driving noise is scalar and tempered, we establish density bounds reflecting the multi-scale behavior of the process.
We modify the coupling method established in [22, 20] and develop a technique to prove the exponential mixing of a 2D stochastic system forced by degenerate Levy noises. In particular, these Levy noises include $α$-stable noises (0 < $α$ < 2). Thanks to the stimulating discussion [14], this technique is promising to study the exponential mixing problem of SPDEs driven by degenerate symmetric $α$-stable noises.
We study the ergodic properties of a class of controlled stochastic differential equations (SDEs) driven by $α$-stable processes which arise as the limiting equations of multiclass queueing models in the Halfin-Whitt regime that have heavy-tailed arrival processes. When the safety staffing parameter is positive, we show that the SDEs are uniformly ergodic and enjoy a polynomial rate of convergence to the invariant probability measure in total variation, which is uniform over all stationary Markov controls resulting in a locally Lipschitz continuous drift. We also derive a matching lower bound …
The paper estimates the rate of convergence of the weak Euler approximation for the solutions of SDEs with Hoelder continuous coefficients driven by point and martingale measures. The equation considered has a non-degenerate main part whose jump intensity measure is absolutely continuous with respect to the Levy measure of a spherically-symmetric stable process. It includes the nondegenerate diffusions and SDEs driven by Levy processes.
The existence and uniqueness of mild solutions are proved for a class of degenerate stochastic differential equations on Hilbert spaces where the drift is Dini continuous in the component with noise and Hölder continuous of order larger than $\ff 2 3$ in the other component. In the finite-dimensional case the Dini continuity is further weakened. The main results are applied to solve second order stochastic systems driven by space-time white noises.
By comparing the original equations with the corresponding stationary ones, the moderate deviation principle (MDP) is established for unbounded additive functionals of several different models of distribution dependent SDEs, with non-degenerate and degenerate noises.
In this paper, we derive a characterization theorem for the path-independent property of the density of the Girsanov transformation for {\it degenerated} stochastic differential equations (SDEs), extending the characterization theorem of \cite{twwy} for the non-degenerated SDEs. We further extends our consideration to non-Lipschitz SDEs with jumps and with degenerated diffusion coefficients, which generalizes the corresponding characterization theorem established in \cite{hqwu}.
We consider non degenerate Brownian SDEs with H{ö}lder continuous in space diffusion coefficient and unbounded drift with linear growth. We derive two sided bounds for the associated density and pointwise controls of its derivatives up to order two under some additional spatial H{ö}lder continuity assumptions on the drift. Importantly, the estimates reflect the transport of the initial condition by the unbounded drift through an auxiliary, possibly regularized, flow.
In this article we prove the existence and uniqueness for degenerate stochastic differential equations with Sobolev (possibly singular) drift and diffusion coefficients in a generalized sense. In particular, our result covers the classical DiPerna-Lions flows and, we also obtain the well-posedness for degenerate Fokker-Planck equations with irregular coefficients. Moreover, a large deviation principle of Freidlin-Wenzell type for this type of SDEs is established.
We prove uniqueness in law for possibly degenerate SDEs having a linear part in the drift term. Diffusion coefficients corresponding to non-degenerate directions of the noise are assumed to be continuous. When the diffusion part is constant we recover the classical degenerate Ornstein-Uhlenbeck process which only has to satisfy the Hörmander hypoellipticity condition. In the proof we use global $L^p$-estimates for hypoelliptic Ornstein-Uhlenbeck operators recently proved in Bramanti-Cupini-Lanconelli-Priola (Math. Z. 266 (2010)) and adapt the localization procedure introduced by Stroock and Va…
We develop a theory of ergodicity for a class of random dynamical systems where the driving noise is not white. The two main tools of our analysis are the strong Feller property and topological irreducibility, introduced in this work for a class of non-Markovian systems. They allow us to obtain a criteria for ergodicity which is similar in nature to the Doob--Khas'minskii theorem. The second part of this article shows how it is possible to apply these results to the case of stochastic differential equations driven by fractional Brownian motion. It follows that under a nondegeneracy condition o…
We investigate stochastic differential equations with jumps and irregular coefficients, and obtain the existence and uniqueness of generalized stochastic flows. Moreover, we also prove the existence and uniqueness of $L^p$-solutions or measure-valued solutions for second order integro-differential equation of Fokker-Planck type.
Under full Hörmander's conditions, we prove the strong Feller property of the semigroup determined by an SDE driven by additive subordinate Brownian motion, where the drift is allowed to be arbitrarily growth. For this, we extend a criterion due to Malicet-Poly \cite{Ma-Po} and Bally-Caramellino \cite{Ba-Ca} about the convergence of the laws of Wiener functionals in total variations. Moreover, the example of a chain of coupled oscillators is verified.
Let $α\in(0,2)$ and $d\in\mathbb{N}$. Consider the following stochastic differential equation (SDE) driven by $α$-stable process in $\mathbb{R}^d$: $$ dX_t=b(X_t)dt+σ(X_{t-})d L^α_t, \quad X_0=x\in\mathbb{R}^d, $$ where $b:\mathbb{R}^d\to\mathbb{R}^d$ and $σ:\mathbb{R}^d\to\mathbb{R}^d\otimes\mathbb{R}^d$ are locally $γ$-Hölder continuous with $γ\in(0\vee(1-α)^+,1]$, $L^α_t$ is a $d$-dimensional rotationally invariant $α$-stable process. Under some dissipative and non-degenerate assumptions on $b,σ$, we show the $V$-uniformly exponential ergodicity for the semigroup $P_t$ associated with $(X_t…
In this paper we study the existence of densities for strongly degenerate stochastic differential equations (SDEs) whose coefficients depend on time and are not globally Lipschitz. In these models neither local ellipticity nor the strong Hörmander condition is satisfied. In this general setting we show that continuous transition densities indeed exist in all neighborhoods of points where the weak Hörmander condition is satisfied. We also exhibit regions where these densities remain positive. We then apply these results to stochastic Hodgkin-Huxley models with periodic input as a first step tow…
We study the ergodic properties of a class of multidimensional piecewise Ornstein-Uhlenbeck processes with jumps, which contains the limit of the queueing processes arising in multiclass many-server queues with heavy-tailed arrivals and/or asymptotically negligible service interruptions in the Halfin-Whitt regime as special cases. In these queueing models, the Itô equations have a piecewise linear drift, and are driven by either (1) a Brownian motion and a pure-jump Lévy process, or (2) an anisotropic Lévy process with independent one-dimensional symmetric $α$-stable components, or (3) an anis…
Using the Bismut's approach to Malliavin calculus, we introduce a simplified Malliavin matrix ([11]) for stochastic differential equations (SDEs) force by degenerate stable like noises. For the degenerate SDEs driven by Wiener noises, one can derive a Norris type lemma and use it \emph{iteratively} to prove the smoothness of density functions. Unfortunately, Norris type lemma is very hard to be iteratively applied to SDEs with stable like noises. In this paper, we derive a simple inequality as a replacement and use it to show that two families of degenerate SDEs with stable like noises admit s…
We obtain sufficient condition for SDEs to evolve in the positive orthant. We use comparison theorem arguments to achieve this. As a result we prove the existence of a unique strong solution for a class of multidimensional degenerate SDEs with non-Lipschitz diffusion coefficients.
We show uniqueness in law for a general class of stochastic differential equations in $\mathbb{R}^d$, $d\ge 2$, with possibly degenerate and/or fully discontinuous locally bounded coefficients among all weak solutions that spend zero time at the points of degeneracy of the dispersion matrix. The points of degeneracy have $d$-dimensional Lebesgue-Borel measure zero. Weak existence is obtained for more general, not necessarily locally bounded drift coefficient.
We consider the long-time behavior of an explicit tamed Euler scheme applied to a class of stochastic differential equations driven by additive noise, under a one-sided Lipschitz continuity condition. The setting encompasses drift nonlinearities with polynomial growth. First, we prove that moment bounds for the numerical scheme hold, with at most polynomial dependence with respect to the time horizon. Second, we apply this result to obtain error estimates, in the weak sense, in terms of the time-step size and of the time horizon, to quantify the error to approximate averages with respect to th…
Using elliptic and parabolic regularity results in $L^p$-spaces and generalized Dirichlet form theory, we construct for every starting point weak solutions to SDEs in $\mathbb{R}^d$ up to their explosion times including the following conditions. For arbitrary but fixed $p>d$ the diffusion coefficient $A=(a_{ij})_{1\le i,j\le d}$ is locally uniformly strictly elliptic with functions $a_{ij}\in H^{1,p}_{loc}(\mathbb{R}^d)$ and the drift coefficient $\mathbf{G}=(g_1,\dots, g_d)$ consists of functions $g_i\in L^p_{loc}(\mathbb{R}^d)$. The solution originates by construction from a Hunt process wit…
We provide a support theorem for the law of the solution to an SDE with jump noise. This theorem applies to general SDEs with jumps and is illustrated by examples of SDEs with quite degenerate jump noises where the theorem leads to an informative description of the support.
In this article, we study the effects of the propagation of a non-degenerate Lévy noise through a chain of deterministic differential equations whose coefficients are Hölder continuous and satisfy a weak Hörmander-like condition. In particular, we assume some non-degeneracy with respect to the components which transmit the noise. Moreover, we characterize, for some specific dynamics, through suitable counterexamples , the almost sharp regularity exponents that ensure the weak well-posedness for the associated SDE. As a by-product of our approach, we also derive some Krylov-type estimates for t…
We study the approximation of the ergodic measure of the following stochastic differential equation (SDE) on $\mathbb{R}^d$: \begin{eqnarray}\label{e:SDEE} d X_t &=& (b_1(X_t)+b_2(X_t)) d t+σ(X_t) d W_t, \end{eqnarray} where $W_t$ is a $d$-dimensional standard Brownian motion, and $b_1: \mathbb{R}^d \mapsto \mathbb{R}^d$, $b_2: \mathbb{R}^d \mapsto \mathbb{R}^d$ and $σ: \mathbb{R}^d \mapsto \mathbb{R}^{d\times d}$ are the functions to be specified in Assumption 2.1 below. In particular, $b_1$ satisfies $b_1\in \mathbb{L}^\infty(\mathbb{R}^d)\cap \mathbb{L}^1(\mathbb{R}^d)$ or $b_1 \in \mathcal…
The large deviations principles are established for a class of multidimensional degenerate stochastic differential equations with reflecting boundary conditions. The results include two cases where the initial conditions are adapted and anticipated.
We consider a special class of mean field SDEs with common noise which depend on the image of the solution (i.e. the conditional distribution given noise). The strong well-posedness is derived under a monotone condition which is weaker than those used in the literature of mean field games, the Feynman-Kac formula is established to solve Schrördinegr type PDEs on $\scr P_2$, and the ergodicity is proved for a class of measure-valued diffusion processes.
