Rate of Converrgence for ergodic continuous Markov processes : Lyapunov versus Poincare

Dominique Bakry; Patrick Cattiaux; Arnaud Guillin

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Rate of Converrgence for ergodic continuous Markov processes : Lyapunov versus Poincare

Dominique Bakry·Patrick Cattiaux·Arnaud Guillin

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Abstract

We study the relationship between two classical approaches for quantitative ergodic properties : the first one based on Lyapunov type controls and popularized by Meyn and Tweedie, the second one based on functional inequalities (of Poincaré type). We show that they can be linked through new inequalities (Lyapunov-Poincaré inequalities). Explicit examples for diffusion processes are studied, improving some results in the literature. The example of the kinetic Fokker-Planck equation recently studied by Hérau-Nier, Helffer-Nier and Villani is in particular discussed in the final section.

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Dominique Bakry, Patrick Cattiaux, Arnaud Guillin. 2007-03-12. Rate of Converrgence for ergodic continuous Markov processes : Lyapunov versus Poincare. https://arxiv.org/abs/math/0703355

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