Long-time behaviour of degenerate diffusions: Ufg-type sdes and time-inhomogeneous hypoelliptic processes

Thomas Cass, Dan Crisan, Paul Dobson, Michela Ottobre

Research output: Contribution to journalArticlepeer-review

Abstract

We study the long time behaviour of a large class of diffusion processes on RN, generated by second order differential operators of (possibly) degenerate type. The operators that we consider need not satisfy the Hörmander Condition (HC). Instead, they satisfy the so-called UFG condition, introduced by Herman, Lobry and Sussman in the context of geometric control theory and later by Kusuoka and Stroock. We demonstrate the importance of the class of UFG processes in several respects: i) we show that UFG processes constitute a family of SDEs which exhibit, in general, multiple invariant measures (i.e. they are in general non-ergodic) and for which one is able to describe a systematic procedure to study the basin of attraction of each invariant measure (equilibrium state). ii) We use an explicit change of coordinates to prove that every UFG diffusion can be, at least locally, represented as a system consisting of an SDE coupled with an ODE, where the ODE evolves independently of the SDE part of the dynamics. iii) As a result, UFG diffusions are inherently “less smooth" than hypoelliptic SDEs; more precisely, we prove that UFG processes do not admit a density with respect to Lebesgue measure on the entire space, but only on suitable time-evolving submanifolds, which we describe. iv) We show that our results and techniques, which we devised for UFG processes, can be applied to the study of the long-time behaviour of non-autonomous hypoelliptic SDEs and therefore produce several results on this latter class of processes as well. v) Because processes that satisfy the (uniform) parabolic HC are UFG processes, this paper contains a wealth of results about the long time behaviour of (uniformly) hypoelliptic processes which are non-ergodic.

Original languageEnglish
Pages (from-to)1-72
Number of pages72
JournalElectronic Journal of Probability
Volume26
Early online date23 Mar 2021
DOIs
Publication statusPublished - 2021

Keywords

  • Diffusion semigroups
  • Distributions with non-constant rank
  • Hörmander condition
  • Long time asymptotics
  • Non-ergodic SDEs
  • Parabolic PDE
  • Processes with multiple invariant measures
  • Stochastic control theory
  • UFG condition

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Fingerprint Dive into the research topics of 'Long-time behaviour of degenerate diffusions: Ufg-type sdes and time-inhomogeneous hypoelliptic processes'. Together they form a unique fingerprint.

Cite this