The order-1/d exponential ergodicity conjecture for generalized reflected Brownian motion

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Let GRBM⁡(R,μ,Γ,U)\operatorname{GRBM}(R,\mu,\Gamma,U) be the generalized reflected Brownian motion defined by the strong solution of the stochastic differential equation in the paper, with transition kernel PtP^t and stationary distribution π\pi. Assume the hypotheses of Theorem. Order-1/d1/d exponential ergodicity conjecture. There exist a function

W:Rd→[1,∞)W:\mathbb{R}^d\rightarrow[1,\infty)

and a constant C>0C>0 such that

∥Pt(x,⋅)−π(⋅)∥TV≤W(x)exp⁡(−Ctd).\left\|P^t(x,\cdot)-\pi(\cdot)\right\|_{TV}\leq W(x)\exp\left(-\frac{Ct}{d}\right).

The preceding corollary gives uniform exponential ergodicity and integrability of the Lyapunov function under the stationary distribution; this conjecture predicts that the exponential rate has order 1/d1/d. The paper notes that obtaining the exact dependence of the rate on dd is difficult, and the conjectured order is not established there.

References

Primary source

Wenpin Tang, “Exponential ergodicity and convergence for generalized reflected Brownian motion”, arXiv:1806.03755 (2019).

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