Cutoff phenomenon for Dyson Ornstein Uhlenbeck process

Thumbnail

Event details

Date 06.03.2024
Hour 16:0017:30
Speaker Djalil Chafaï (Paris)
Location
Category Conferences - Seminars
Event Language English

We study the Dyson-Ornstein-Uhlenbeck diffusion process, an evolving gas of interacting particles. Its invariant law is the beta Hermite ensemble of random matrix theory, a non-product log-concave distribution. We explore the convergence to equilibrium of this process for various distances or divergences, including total variation, relative entropy, and transportation cost. When the number of particles is sent to infinity, we show that a cutoff phenomenon occurs: the distance to equilibrium vanishes abruptly at a critical time. A remarkable feature is that this critical time is independent of the parameter beta that controls the strength of the interaction, in particular the result is identical in the non-interacting case, which is nothing but the Ornstein-Uhlenbeck process. We also provide a complete analysis of the non-interacting case that reveals some new phenomena. Our work relies among other ingredients on convexity and functional inequalities, exact solvability, exact Gaussian formulas, coupling arguments, stochastic calculus, variational formulas and contraction properties. This work leads, beyond the specific process that we study, to questions on the high-dimensional analysis of heat kernels of curved diffusions. This is a joint work with Jeanne Boursier and Cyril Labbé.

Practical information

  • Expert
  • Free

Contact

  • Martin Hairer

Tags

Probability and Stochastic Analysis Seminar

Event broadcasted in

Share