Invariant measure of duplicated diffusions and application to Richardson-Romberg extrapolation. (English. French summary) Zbl 1329.60281

Summary: With a view to numerical applications we address the following question: given an ergodic Brownian diffusion with a unique invariant distribution, what are the invariant distributions of the duplicated system consisting of two trajectories? We mainly focus on the interesting case where the two trajectories are driven by the same Brownian path. Under this assumption, we first show that uniqueness of the invariant distribution (weak confluence) of the duplicated system is essentially always true in the one-dimensional case. In the multidimensional case, we begin by exhibiting explicit counter-examples. Then we provide a series of weak confluence criterions (of integral type) and also of a.s. pathwise confluence, depending on the drift and diffusion coefficients through a non-infinitesimal Lyapunov exponent. As examples, we apply our criterions to some non-trivially confluent settings such as classes of gradient systems with non-convex potentials or diffusions where the confluence is generated by the diffusive component. We finally establish that the weak confluence property is connected with an optimal transport problem. {
} As a main application, we apply our results to the optimization of the Richardson-Romberg extrapolation for the numerical approximation of the invariant measure of the initial ergodic Brownian diffusion.


60J60 Diffusion processes
60J65 Brownian motion
60F05 Central limit and other weak theorems
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H35 Computational methods for stochastic equations (aspects of stochastic analysis)
60G10 Stationary stochastic processes
65C30 Numerical solutions to stochastic differential and integral equations
65C05 Monte Carlo methods
49Q20 Variational problems in a geometric measure-theoretic setting
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