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arXiv · 1709.09866

A Weak Overdamped Limit Theorem for Langevin Processes

Mathias Rousset·Yushun Xu·Pierre-André Zitt
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Abstract

In this paper, we prove convergence in distribution of Langevin processes in the overdamped asymptotics. The proof relies on the classical perturbed test function (or corrector) method, which is used both to show tightness in path space, and to identify the extracted limit with a martingale problem. The result holds assuming the continuity of the gradient of the potential energy, and a mild control of the initial kinetic energy.

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Mathias Rousset, Yushun Xu, Pierre-André Zitt. 2017-09-28. A Weak Overdamped Limit Theorem for Langevin Processes. https://arxiv.org/abs/1709.09866

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