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1 CQFD - Quality control and dynamic reliability IMB - Institut de Mathématiques de Bordeaux, Inria Bordeaux - Sud-Ouest 2 School of Mathematics and statistics Sydney 3 TOSCA - TO Simulate and CAlibrate stochastic models CRISAM - Inria Sophia Antipolis - Méditerranée , IECL - Institut Élie Cartan de Lorraine : UMR7502 4 Probabilités et statistiques IECL - Institut Élie Cartan de Lorraine

Abstract : We consider an elliptic and time-inhomogeneous diffusion process with time-periodic coefficients evolving in a bounded domain of $\mathbb{R}^d$ with a smooth boundary. The process is killed when it hits the boundary of the domain hard killing or after an exponential time soft killing associated with some bounded rate function. The branching particle interpretation of the non absorbed diffusion again behaves as a set of interacting particles evolving in an absorbing medium. Between absorption times, the particles evolve independently one from each other according to the diffusion semigroup; when a particle is absorbed, another selected particle splits into two offsprings. This article is concerned with the stability properties of these non absorbed processes. Under some classical ellipticity properties on the diffusion process and some mild regularity properties of the hard obstacle boundaries, we prove an uniform exponential strong mixing property of the process conditioned to not be killed. We also provide uniform estimates w.r.t. the time horizon for the interacting particle interpretation of these non-absorbed processes, yielding what seems to be the first result of this type for this class of diffusion processes evolving in soft and hard obstacles, both in homogeneous and non-homogeneous time settings.

Keywords : uniform mixing property time-inhomogeneous diffusion process process with absorption





Autor: Pierre Del Moral - Denis Villemonais -

Fuente: https://hal.archives-ouvertes.fr/



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