Sayan Banerjee : Coupling, geometry and hypoellipticity (Apr 6, 2017 3:10 PM)

Coupling is a way of constructing Markov processes with prescribed laws on the same space. The coupling is called Markovian if the coupled processes are co-adapted to the same filtration. We will first investigate Markovian couplings of elliptic diffusions and demonstrate how the rate of coupling (how fast you can make the coupled processes meet) is intimately connected to the geometry of the underlying space. Next, we will consider couplings of hypoelliptic diffusions (diffusions driven by vector fields whose Lie algebra span the whole tangent space). Constructing successful couplings (where the coupled processes meet almost surely) for these diffusions is a much more subtle question as these require simultaneous successful coupling of the driving Brownian motions as well as a collection of their path functionals. We will construct successful Markovian couplings for a large class of hypoelliptic diffusions. We will also investigate non-Markovian couplings for some hypoelliptic diffusions, namely the Kolmogorov diffusion and Brownian motion on the Heisenberg group, and demonstrate how these couplings yield sharp estimates for the total variation distance between the laws of the coupled diffusions when Markovian couplings fail. Furthermore, we will demonstrate how non-Markovian couplings can be used to furnish purely analytic gradient estimates of harmonic functions on the Heisenberg group by purely probabilistic means, providing yet another strong link between probability and geometric analysis. This talk is based on joint works with Wilfrid Kendall, Maria Gordina and Phanuel Mariano.

• Category: Probability
• Duration: 01:29:47
• Date:  April 6, 2017 at 3:10 PM
• Views: 114
• Tags:   seminar, Probability Seminar