Journal
JOURNAL OF STATISTICAL PHYSICS
Volume 152, Issue 2, Pages 237-274Publisher
SPRINGER
DOI: 10.1007/s10955-013-0769-x
Keywords
Non-reversible diffusion; Convergence to equilibrium; Wick calculus
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Funding
- Agence Nationale de la Recherche [ANR-09-BLAN-0216-01]
- EPSRC [EP/H034587, EP/J009636/1]
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We consider non-reversible perturbations of reversible diffusions that do not alter the invariant distribution and we ask whether there exists an optimal perturbation such that the rate of convergence to equilibrium is maximized. We solve this problem for the case of linear drift by proving the existence of such optimal perturbations and by providing an easily implementable algorithm for constructing them. We discuss in particular the role of the prefactor in the exponential convergence estimate. Our rigorous results are illustrated by numerical experiments.
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