Optimal linear drift for the speed of convergence of an hypoelliptic diffusion

DOI10.1214/16-ECP25zbMath1354.60084arXiv1604.07295OpenAlexW2950518791MaRDI QIDQ727855

Pierre Monmarché, Arnaud Guillin

Publication date: 21 December 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.07295

zbMATH Keywords

Brownian motionOrnstein-Uhlenbeck processirreversibilityasymptotic convergence ratehypoelliptic diffusionhypocoercivityoptimal samplingoptimal linear dirft

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Brownian motion (60J65) Diffusion processes (60J60) Second-order parabolic equations (35K10) Limit theorems in probability theory (60F99)

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