论文标题
有限和无限尺寸反射的布朗动作的长期行为
Long Time Behavior of Finite and Infinite Dimensional Reflected Brownian Motions
论文作者
论文摘要
本文对反射扩散的长期行为进行了一些新的和新结果的评论。首先,我们介绍了关于构造,千古和几何形状的先前结果的摘要。几何达克性结果虽然非常笼统,但通常会由于抽象的耦合和用于获取它们的Lyapunov函数而产生隐式收敛速率。这导致我们对反射的布朗运动(RBM)的重要子类(恒定的漂移和扩散系数和边界的倾斜反射),称为Harrison-Reiman类,其中明显的收敛速率作为系统参数和下属的增长。此外,提供了RBM的系统参数的足够条件,在该条件下,局部收敛到平稳性以“无维度”速率保持,也就是说,对于任何固定的$ k \ in \ mathbb {n} $中的任何固定的$ k \,$ k $ - $ -Marginal to equilibrium to equilibrium to equilibrium的收敛速率都不取决于整个系统的减小。最后,我们研究了基于无限等级的扩散的长时间行为,包括研究精心的无限地图集模型。有序粒子之间的缝隙随着无限的尺寸rbm的发展而演变,而这种间隙过程则具有许多显式的显型产品形成固定分布。提供了足够的条件,可以提供各种固定分布的吸引力的弱领域。最后,结果表明,在条件下,所有这些显式固定分布都是极端(等效地,ergodic),并且在某种意义上,唯一的产品形成了不变的概率分布。证明技术涉及使用显式同步和镜子耦合以及构建Lyapunov函数的RBM路径分析。
This article presents a review of some old and new results on the long time behavior of reflected diffusions. First, we present a summary of prior results on construction, ergodicity and geometric ergodicity of reflected diffusions in the positive orthant $\mathbb{R}^d_+$, $d \in \mathbb{N}$. The geometric ergodicity results, although very general, usually give implicit convergence rates due to abstract couplings and Lyapunov functions used in obtaining them. This leads us to some recent results on an important subclass of reflected Brownian motions (RBM) (constant drift and diffusion coefficients and oblique reflection at boundaries), known as the Harrison-Reiman class, where explicit rates of convergence are obtained as functions of the system parameters and underlying dimension. In addition, sufficient conditions on system parameters of the RBM are provided under which local convergence to stationarity holds at a `dimension-free' rate, that is, for any fixed $k \in \mathbb{N}$, the rate of convergence of the $k$-marginal to equilibrium does not depend on the dimension of the whole system. Finally, we study the long time behavior of infinite dimensional rank-based diffusions, including the well-studied infinite Atlas model. The gaps between the ordered particles evolve as infinite dimensional RBM and this gap process has uncountably many explicit product form stationary distributions. Sufficient conditions for initial configurations to lie in the weak domain of attraction of the various stationary distributions are provided. Finally, it is shown that, under conditions, all of these explicit stationary distributions are extremal (equivalently, ergodic) and, in some sense, the only product form invariant probability distributions. Proof techniques involve a pathwise analysis of RBM using explicit synchronous and mirror couplings and constructing Lyapunov functions.