It was shown recently that a Langevin process can be reflected at an energy absorbing boundary. Here, we establish that the law of this reflecting process can be characterized as the unique weak solution to a certain second order stochastic differential equation with constraints, which is in sharp contrast with a deterministic analog.
We establish a large deviation principle for a reflected Poisson driven SDE. Our motivation is to study in a forthcoming paper the problem of exit of such a process from the basin of attraction of a locally stable equilibrium associated with its law of large numbers. Two examples are described in which we verify the assumptions that we make to establish the large deviation principle.
This paper presents existence and uniqueness results for reflected backward doubly stochastic differential equations (in short RBDDSEs) in a convex domain D. Moreover, using a stochastic flow approach a probabilistic interpretation for a class of reflected SPDE's in a domain is given via such RBDSDEs. The solution is expressed as a pair (u,ν) where u is a predictable continuous process which takes values in a Sobolev space and m is a random regular measure. The bounded variation process K, component of the solution of the reflected BDSDE, controls the set when u reaches the boundary of D. This…
We consider a one-dimensional Stochastic Differential Equation with reflection where we allow the drift to be merely bounded and measurable. It is already known that such equations have a unique strong solution. Recently, it has been shown that non-reflected SDE's with discontinuous drift possess more regularity than one could expect, namely they are Malliavin differentiable and weakly differentiable w.r.t. the initial value. In this paper we show that similar results hold for one-dimensional SDE's with reflection. We then apply the results to get a Bismut-Elworthy-Li formula for the correspon…
Hong Kong University of Science and Technology (Guangzhou)（香港科技大学（广州））；Fudan University（复旦大学）；Beijing Institute of Technology（北京理工大学）；Florida State University（佛罗里达州立大学）
Let O the basin of attraction of the unique stable equilibrium of a dynamical system, which is the law of large numbers limit of a Poissonian SDE. We consider the law of the exit point from O of that Poissonian SDE. We adapt the approach of M. Day (1990) for the same problem for a Brownian SDE. For that purpose, we will use the Large deviation for the Poissonian SDE reflected at the boundary of O studied in our recent work Pardoux and Samegni (2018).
The theory of backward SDEs extends the predictable representation property of Brownian motion to the nonlinear framework, thus providing a path-dependent analog of fully nonlinear parabolic PDEs. In this paper, we consider backward SDEs, their reflected version, and their second-order extension, in the context where the final data and the generator satisfy $L^1$-type of integrability condition. Our main objective is to provide the corresponding existence and uniqueness results for general Lipschitz generators. The uniqueness holds in the so-called Doob class of processes, simultaneously under…
Backward stochastic differential equations extend the martingale representation theorem to the nonlinear setting. This can be seen as path-dependent counterpart of the extension from the heat equation to fully nonlinear parabolic equations in the Markov setting. This paper extends such a nonlinear representation to the context where the random variable of interest is measurable with respect to the information at a finite stopping time. We provide a complete wellposedness theory which covers the semilinear case (backward SDE), the semilinear case with obstacle (reflected backward SDE), and the …
Non-Reversible Langevin Algorithms for Constrained Sampling
University of California, Irvine（加利福尼亚大学欧文分校）；Florida State University（佛罗里达州立大学）；Hong Kong University of Science and Technology (Guangzhou)（香港科技大学（广州））
Based on an integration by parts formula for closed and convex subsets $Γ$ of a separable real Hilbert space $H$ with respect to a Gaussian measure, we first construct and identify the infinite dimensional analogue of the obliquely reflected Ornstein-Uhlenbeck process (perturbed by a bounded drift $B$) by means of a Skorokhod type decomposition. The variable oblique reflection at a reflection point of the boundary $\partial Γ$ is uniquely described through a reflection angle and a direction in the tangent space (more precisely through an element of the orthogonal complement of the normal vecto…
We construct a family of SDEs whose solutions select a reflected Brownian flow as well as a stochastic damped transport process (W\_t). The latter gives a representation for the solutions to the heat equation for differential 1-forms with the absolute boundary conditions; it evolves pathwise by the Ricci curvature in the interior, by the shape operator on the boundary and driven by the boundary local time, and has its normal part erased on the boundary. On the half line this construction selects the Skorohod solution (and its derivative with respect to initial points), not the Tanaka solution.…
Full-Covariance Chemical Langevin Predator--Prey Diffusion with Absorbing Boundaries
College of Engineering, Boston University（波士顿大学工程学院）；Department of Mathematics, University of Tennessee（田纳西大学数学系）；College of Computer Science and Technology, Zhejiang University（浙江大学计算机科学与技术学院）；Department of Industrial and Systems Engineering, The University of Iowa（爱荷华大学工业与系统工程系）
Accelerating Constrained Sampling: A Large Deviations Approach
School of Mathematics, Shanghai University of Finance and Economics（上海财经大学数学学院）；FinTech Thrust, Hong Kong University of Science and Technology (Guangzhou)（香港科技大学（广州）金融科技学域）；Department of Mathematics, Florida State University（佛罗里达州立大学数学系）
We give a Dirichlet form approach for the construction of distorted Brownian motion in a bounded domain $Ω$ of $\mathbb{R}^d$, $d \geq 1$, with boundary $Γ$, where the behavior at the boundary is sticky. The construction covers the case of a static boundary behavior as well as the case of a diffusion on the hypersurface $Γ$ (for $d \geq 2)$. More precisely, we consider the state space $\overlineΩ=Ω\stackrel{.}{\cup} Γ$, the process is a diffusion process inside $Ω$, the occupation time of the process on the boundary $Γ$ is positive and the process may diffuse on $Γ$ as long as it sticks on the…
Georgia Institute of Technology（佐治亚理工学院）；Shenzhen Institute of Artificial Intelligence and Robotics for Society（深圳人工智能与机器人研究院）；The Chinese University of Hong Kong, Shenzhen（香港中文大学（深圳））
This article considers the popular MCMC method of unadjusted Langevin Monte Carlo (LMC) and provides a non-asymptotic analysis of its sampling error in 2-Wasserstein distance. The proof is based on a refinement of mean-square analysis in Li et al. (2019), and this refined framework automates the analysis of a large class of sampling algorithms based on discretizations of contractive SDEs. Using this framework, we establish an $\tilde{O}(\sqrt{d}/ε)$ mixing time bound for LMC, without warm start, under the common log-smooth and log-strongly-convex conditions, plus a growth condition on the 3rd-…
