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

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()TVW(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.

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Primary source

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

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