Ergodic behavior of diffusions with random jumps from the boundary |
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Authors: | Iddo Ben-Ari Ross G. Pinsky |
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Affiliation: | 1. Department of Mathematics, University of California - Irvine, Irvine, CA 92697, USA;2. Department of Mathematics, Technion—Israel Institute of Technology, Haifa 32000, Israel |
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Abstract: | We consider a diffusion process on D⊂Rd, which upon hitting ∂D, is redistributed in D according to a probability measure depending continuously on its exit point. We prove that the distribution of the process converges exponentially fast to its unique invariant distribution and characterize the exponent as the spectral gap for a differential operator that serves as the generator of the process on a suitable function space. |
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Keywords: | primary 60J60 |
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